I have not had issues with illness and death from feeding roaches, but I had encountered problems in the past when feeding them bees and wasps--most likely due to trace amounts of pesticides that they've picked up and able to tolerate. It was most definitely not the sting that did them in, as I had watched and they were quite good at positioning the ends of the abdomens safely away while feeding.
I do have to point out that I keep my roaches clean and feed them a varied diet, so the lack of illness and death in my case may be related to how clean and well-fed I keep my feeders. From what I've observed, Mantises will usually eat even the guts of their prey with the exception of caterpillars, so you have to be aware that if the feeders are starving and feeding on corpses or decaying food items, their guts may contain high levels of microbes that the mantises may not be able to deal with. Perhaps the vomiting everyone keeps seeing is them purging themselves of the undesireable gut contents of their prey, because I certainly have never seen my mantises vomit from "eating too much." They've always dropped what remains of their prey if they've had their fill.