Captivity is different than the wild. When moving animals to captivity you take away all wilderness factors that provide in it's hardiness and immune system.
It's the same issue as feeding the lizard, it could injure the frog (and even kill it if it's lucky) and if you caught it from the wild or got it from a pet store it could contain ALL KINDS of pests and problems.
Like said previously, it's a stupid risk that is unnecessary when they are perfectly fine eating insects.