The reason that you should not feed them wild caught prey is many. One major issue is that you have no control over the quality of prey, meaning they can be unhealthy for many reasons. Some of these reasons include natural diseases that are carried by that prey in your area. Also with the prey being wild caught there is no way to know what the prey has been exposed to, chemical wise. A lot of bugs and wild rodents will usually have some kind of pesticide or other chemical in them and none of which is good for your reptile. Sometimes that wild prey will also be hazardous to your reptile, for example lighting bugs (unique around the Northeast) are toxic to many lizards.