I had the same problem and I found out that the potato was the source of most of the smell. I change the potato diligently every day, and the smell has gone down significantly. I changed the oatmeal two weeks ago, but the potato was definitely the culprit!
I also have silkworms, and they too stink! In fact, it's their food that smells, I got the already prepared chow from the supplier.
But my dubia colony doesn't smell, or even smells nice, because I feed them lots of orange wedges!For minimum smell, I would recommend dubias, or butterworms since they're in the fridge!