Where did you get that from? Because it’s really not true.
Pain in invertebrates is a difficult topic, which I think probably works out to that they have responses akin to our suffering but different; but in any case there’s no question insects have a centralized and decently complicated brain.
It’s better practice to use locally caught crickets for bait, anyway- pet shop crickets may be non-native invasive species, or may carry diseases that can affect native species. Some US pet shops are apparently actually breaking the law by selling non-USDA-approved crickets.