I personally feed my roaches vegetables and fruit. I don't feed them anything I wouldn't feed my dragon. I have two bins, one is my breeders and one is my feeders. They get slightly different food.
For example, I feed my breeders oranges but I don't feed oranges to my feeders. It probably won't hurt my dragon if my feeders fed on citrus but I don't want to worry about it so no orange for my feeders.
Here's the breakdown.
Breeders: Oranges, Apples, cucumber, romaine lettuce, collard greens, and once a week I'll give them moistened dog food.
Feeders: Apples, collard greens, romaine lettuce, occasional carrot and once a week some moistened repcal pellets. I read the ingredients on the repcal pellets and I was skeptical about whether it was a good idea for my beardie to eat it but I've seen reputable breeders recommend them. I decided to compromise by gutloading my bugs with them.
I keep my roaches on a low protein diet to minimize uric acid. Plus, dubia roaches are adapted to low protein diets, having the ability to create protein for themselves from the greens they eat. Also, it's a very good idea to put this food on some sort of tray or bowl that the roaches can reach. I put mine on plastic takeout bowls from a Chinese restaurant. I cut out part of the side so that the roaches can have easy access and I can easily clean up their mess.
If you go for a fruit and veggie gutload like me, then it's important to have those little bowls or plates for them to feed off of because you'll need to go in and clean that stuff up as soon as they're done and the bowls help with that. Don't skip on cleaning up because you can end up with a phorid infestation, which is annoying. Also remember to keep their bin/enclosure well ventilated. They need humidity for shedding but too much moisture can cause mold, which can kill them.
There's also some gutloading chow that you can buy online that I hear can be good for them to eat. I know Repashy has a very good gutload formula. It's kind of expensive though.