I'm not aware of any experiments that anyone has done in the ant keeping community to determine if you really do need to freeze any captured wild insects lest you introduce some harmful organism into your captive colonies. I'm also skeptical about the likelihood of live wild insects you've captured carrying a potentially harmful pesticide load into your colonies.
The current best wisdom seems to be to freeze any wild insects with the stated purpose of killing not just the insects but any parasites that they might be carrying with them that would otherwise infest your colonies. Regarding pesticide if you keep captured insects in a container with easy access to moisture and they still seem to be doing fine then reason would suggest that they're safe to feed. In my experience insects exposed to pesticide are usually either dead or quite obviously in the process of dying when you find them so I'm not sure that it's all that necessary to be concerned about this.
I found fruit flies to be very well received among all my ants; queens in tubes in the founding stage seemed to be especially receptive to frozen fruit flies once they thawed out. You can purchase Drosophila hydei cultures from large chain pet stores fairly cheaply and although those cultures typically only last a couple weeks it is trivially easy to culture your own using cheap substrate such as rehydrated potato flakes in clean mason jars. Similarly you can acquire a culture of Drosophila melanogaster which are the so called "flightless" fruit flies. They were easier to handle in my opinion because I did not have to worry about escapees flying off to infest your house (they can hop a considerable distance though). To acquire these you will likely have to order them online or perhaps get into contact with a museum or zoo that cultures them and beg for a few to start a culture of your own.
