A single cockroach milk protein crystal contains more than three times the amount of energy found in an equivalent amount of buffalo milk (which is also higher in calories than regular cow's milk).
The crystals are a complete food - they have proteins, fats and sugars, with all the essential amino acids. It's also time released.

As the protein in the milk is digested, the crystal releases more protein at an equivalent rate to continue the digestion.

An international team of scientists headed by researchers from the Institute of Stem Cell Biology and Regenerative Medicine in India are sequencing the genes responsible for producing the milk protein crystals to replicate them in the lab, using yeast.

It could be in powder form and added to soups and made into burgers.

[sciencealert.com]

Uuummm, first tell me how you plan to Milk them......

Entomilk? Aussie Bug Milk? It hasn't been proven safe though.
I think if it does have any potential, then genetically modified bacteria could be made to produce it in quantities.

How the hell do you milk a cockroach ? You would need a very tiny milking machine ?

You can milk anything with nipples and somethings without.

it's not like we don't already eat weird things... in order to make certain food colorings, they use crushed bugs and there are certain scents, candies, other products where the main ingredient is beaver anus gland secretions otherwise known as castoreum. The cockroach "milk" are nutrients packed in crystalline form and when they figure out how to mass produce it, it probably won't even come from roaches.

I am not sure how you would market that.. but I would buy it

Who milks them? Sorry, couldn't resist. If I was marketing it, I'd make up another name for it.