I don't know what region C. magnifica is native to, nor do I know anything of its biology. However, I can say that it is illegal to import any insect species into the United States without a permit. The USDA inspects shipments from other countries and I know a couple of people who were fined for importing exotic insects (not realizing it was illegal). Another important factor to consider is the extreme rarity (and endangered status) of many insect species. In this case, it is simply unethical, as well as difficult, to collect individuals from the wild.
There is also, of course, the fact that an immense number of species are nearly impossible to raise or breed in a captive setting. For example, the vast majority of ant species will not mate in captivity (due to inbreeding avoidance, need for certain environmental stimuli, etc.) and most termites (especially the Termitidae) require very specific environmental conditions that are challenging or impossible to replicate in a captive setting. Indeed, this is no doubt the case for most insect species, and is probably true for many roach groups as well.
