Insects just don't feel pain like we do. They don't possess the nerve structures which other animals possess that relay pain to the brain, and they do not possess a true brain to relay it to in the first place. They do have a chemical response to damage, but it's not unlike plants that visibly shrink from touch.
Most importantly, they don't have emotions, so they simply don't respond with fear the way we do. I know it's upsetting to us to watch, because we also possess empathy (well.. most of us), but we're just projecting something onto them that's not there.
We can't really let our emotions get tangled up in what our babies really do need, if we want them to live long and healthy lives. But you can buy frozen or dried mealworms if it bothers you to watch. This is what their diet would look like in the wild, and it gives a more complete nutritional balance.
This article may help you get a better grasp on the whole thing. Sorry it's about cockroaches. It's just the more explanatory ones I've found on the subject, but it applies to mealworms as well. And trust me, I know what you mean.. I just give them to my babies and walk away now. I find it distasteful but they seem to love it so much, and it's very natural and healthy behavior and diet.
https://www.cockroachzone.com/do-cockroaches-feel-pain-when-they-die/