The parasite risk is the biggest concern indeed. I suspect most bait shops purchase their crickets from a lot of the same farms that we in the hobby purchase feeders from. They are probably raised the same way, but the differences in how they are stored are going to become a problem. Baitshops could care less about the health in theory so parasite or diseases would spread much easier.
You could feed em, but it is a risk. If you can inspect the cricket bin where you buy them from, check for dead bodies, old/rotten food etc... If you see any of that, I would skip feeding until your shipment comes in tomorrow. If your beardie is healthy, missing one day's feeding won't hurt it. Just offer plenty of greens for it to nibble on.