I've heard people can develop allergies to Dubia Roaches. Should I avoid keeping the colony in my bedroom, or should I be fine. My room is moderately ventilated
I've heard that, but haven't had any issue with them being nearby for long periods. I currently have mine at the bottom of the utility closet in my bathroom since they like humidity. The smell might get to you more than anything else, but if you keep the bin pretty clean by removing old food quickly, replacing the cardboard regularly, and maybe using some superworms/morio worms as cleaner crew the smell can be kept in check pretty well.
I have a handful of supers that I put in the bin with the roaches a few years ago. (they eventually morph into beetles) and act as cleaner crew that eats some of the old food and dead bugs which keeps the enclosure a bit cleaner/less smelly without having to clean out the frass as frequently. I don't feed them off to my dragon, and they are just kind of a piece of the ecosystem in there now.