Yes, it is safer. Basically what we discovered in the 90s is that cannibalism (an animal eating others of its species) has a relatively high chance of leading to protein mis-folding in that animal, producing prions. Those prions can then cause additional mis-folding producing more prions, this time in a very direct way that is unrelated to who consumes the meat.

So pig > pig or cow > cow is known to produce prions. I believe it's also somewhat proven that, say, pig > cow > pig does not produce prions in the same way. However, insect digestion is very different from vertebrate digestion, so it's not necessarily safe to assume that pig > cow > pig being safe means that pig > insect > pig would also be safe. However, it does prove that pig > insect > cow > pig would still be safe - the insects don't add a risk in themselves, we're just not certain that they eliminate the risk the same way vertebrate digestive systems do.

As far as I understand, it is indeed safer, because different animals tend to be sensitive to different illnesses.