Oh my, yuck...stink bugs and box elder beetles are nasty little bugs, they are full of that stuff that emits the odor, which I believe is an aldehyde and not poisonous but could make him feel pretty badly. Watch him closely to make sure he doesn't start vomiting or lose his appetite long term.
He should be fine, but just as an FYI for the future, please do not EVER feed your beardie insects from outside, first off they could be poisonous and that can kill your beardie, and even if they are not poisonous and you know what they are, you still have absolutely no way of knowing if they have been exposed to or eaten any types of pesticides or insecticides, especially like you did in this case, that dead bug that you fed him could have been dead because he was poisoned. And if you're not sure what the bug even is, you could end up feeding him anything, like a dead firefly or something that is lethal. So it's just a really good rule to never, ever, ever allow your beardie to eat ANY INSECTS that he finds outside, dead or alive, or that are not specifically purchased for him to eat.