Yes, a colony if roaches is easy to maintain and a good idea. I like orange head roaches much better than Dubia. I have 3 species of roaches.
If you have roach allergies, obviously roaches could be problematic.
Roach allergies are really common. I am horribly allergic to hissing roaches, I use to breed huge numbers of them. A few trips to the ER because I couldn't breath encouraged me to get rid of them. Weird thing is I'm not allergic to my dubia, orange heads, or ivory head roaches.
People can become sensitive to them due to exposure...so allergies to them can develop.