As long as the stock you begin with has no inheritable genetic defect, you can breed the same roaches indefinitely. This is referred to as linebreeding when done with mammals.
After having exchanged the same genes over and over again, eventually every roach in the entire colony will be genetically identical. You have effectively created clones. The risk in this is that, if there's something the roaches are susceptible to (sensitivity to a chemical that may be in their environment, heat-induced death above 88 degrees F, fatal allergy to some food item they may be exposed to, etc.), upon exposure, ALL of the roaches will die, not just some as would be the case with a genetically diverse population.
However, since we control our roaches' environments completely, odds are they will not be suddenly exposed to something new.
The only other risk is a phenomenon observed in mammals which are linebred extensively. Based on the information I have found to date, this does not seem to occur in roaches, but I feel is worth mentioning: After enough linebreeding, fertility levels and birth rates seem to become reduced. No one knows why this happens in mammals when they are still genetically sound.
As long as the colony is producing lots of roahes, don't worry about outcrossing.
Frank