Think of the range of a moth, fly, or any other insect -- is there another house in that range that could be utilizing insect spray or even chemicals for their gardens or yards. These could easily make their way into the insect and then into our pets.
With regard to releasing a critter that we caught in the wild, I thought it would be a fair idea as well. I just found out that here in Maryland we have laws that state you can not release a native wild caught critter if you have had it for more than 30 days and/or it has been kept with any other type of critter. I called the DNR and they indicated that even though they are in their own separate tank, they can still catch and carry disease, from other tanks in the rooms, back outside. They are strongly against the idea of catching and releasing because it is well documented that a stray bacteria can reek havoc on a local population from doing just that. Since many of us have non-native as well as native critters, if you intend to take one from the wild - it is with the intent that they live in captivity.
I know many of us and our children today catch, watch and release tons of snakes, frogs, salamanders, etc and probably without any bad things happening. And if we capture something and watch it for a little while and then let it go -- no problem. It's the ones we take, then get tired of and think - well I got it outside, so I can just put it back that is the problem. All it takes is one.
Many of the wild population is killed by insecticides - either by direct contact or eating something that came in contact with them. I would also guess that some of the local critters might even develop a sort of immunity to local pesticides if introduced in tiny bits. **That is pure speculation on my part** But my way of thinking is we humans would have eradicated many more species than we already have - if they didn't have some sort of protection. (kind of like vaccines for us).
Thinking along those same lines - if we have a captive bred critter and we introduce local insects (even if the critter is native), I would think they would be more susceptible to a contaminated insect.
**Mind you these are random thoughts to get us thinking **