My ants will choose Dubia roaches over mealworms any day, any time, even if their only protein source is dubias.
Are they really that much better? One colony (20 workers) resorted to eating one of their first major larvae even though there was a fresh mealworm in their outworld. They showed interest in the mealworm at first, and fed from it a bit, but after a while they just forgot about it and left it there. When I placed a dead dubia nymph in the same spot not long after, they reacted immediately and dragged the entire thing into their nest.
Should I bother continuing to keep mealworms if my ants clearly prefer roaches as protein? Maybe I'm not gut loading my mealworms properly? Not sure.