There are several reasons, so YMMV.
Some like the humiliating aspect - being treated as breeding stock by "inferior" creatures.
Some enjoy the non-humanoid shapes and abiltiies of insectoids.
Some will focus on the girl, not care as much about insects, but like it as long as the girl gets off lewdly.
Some displace their real-life disgust of the situation into sexy territory to reduce the anxiety it causes them (brains have fun and weird ways to cope).
Some just really enjoy some artists' renditions and won't like everything in this niche.
And probably other reasons like overlap with oviposition/crossbreeding/beastiality or other niches.