I'm disappointed to hear that that about Josh's Frogs. I'm a fan of the company overall and had great experience with them, but I have never bought live food or live animals from them. So, I'm a little surprised to hear that they're shipping roaches and crickets this way. Otherwise, they're my go to for a lot of other hobby related stuff, so I hope they have made some improvements on that front.

For clarity, I imagine that the species of roach you ordered were likely something like dubias.

For anybody that might see this, most of the roach species used as feeders (or even kept as "pets") are not associated with diseases in humans and would be highly unlikely to become an infestation issue in most domestic situations outside of fully tropical climates (and even then it would be unlikely). These are critters that need stable, warm temperatures and fairly high humidity, as well as appropriate food sources and surprisingly clean environments just to keep them alive in cultivation. Your home or the post office (in North America) is unlikely to be conducive.