I have no qualms at all with catching bugs, nightcrawlers and many other types of wild caught food. I rinse it carfully and do not bring in anything that was dead when I found it. I certainly don't trust pellet food any more than I do my home caught stuff. There are enough contaminants that go into FDA inspected human food that I'm sure the packaged fish food is at risk as well.
There is no doubt In my mind that these fish like to hunt, and should be be given live samplings as part of their diet. My personal reccomendation for feeder fish is home raised Guppies or convicts. Goldfish (Comets) are heavy on the fat and cartiledge side and low on the nutrition side. additionally goldies are not tropical fish and It seems to me it makes more sense to feed similar type fish to what an Oscar may find in the wild. In addition to feeder fish, I raise snails for my cichlids, also ghost shrimp. I also collect earthworms, crayfish (Be sure to QT them for several weeks) Tadpoles and frogs. Occasionally I'll feed the flies or crickets, but my Oscar has a different personality than tank raised fish and it's a little harder to feed him things that can swim to the edge and crawl out. Anything that you don't raise yourself should be rinsed and quaratined. I hear good and bad things about Blackworms, I have fed them to my fish but really Blackworms are small and For the occasional treat I find them to be a bit of a pain.