Understanding the use case of farming crickets in developed countries Currently, farming crickets is quite labor intensive.

No wonder that if you compare prices, in developed countries you get crickets at say \$100/kg, while in Thailand they cost under \$2/pound, in an e-shop \$29/kg which comes close to production cost in a developed country.

Nevertheless, there are quite many cricket farms for human food opening in developed countries. 

Why?
I think there are probably a few different answers to your question, all of which likely play some role.

First, in many developed countries, insect use in human food is regarded not as an inferior good, but a normal good. By highlighting things like nutrition content (specifically protein), they're trying to capture a market that includes more affluent, health conscious consumers. These individuals are likely to be a bit less price sensitive, and may even use price as a signalling component. Therefore, products using crickets might be less sensitive to pricing compared to other goods.

Second, companies trying to sell cricket-based products might also feel that their consumers would be more concerned about ingredient sourcing to distant farms. This could be because of perceived fears of quality differences, or because of things like a preference towards local sourcing.

Third, it seems that many of the newer farms opening in the developed world like the one profiled here are addressing the issues of labor intensity in cricket production by increasing efficiencies and utilizing more technology in the production process.

There's also likely some natural home bias in products like this. Much of the grassroots support for increased cricket consumption is driven by the farmers themselves. Because stronger community roots can improve these efforts, and because of the high costs of researching, incorporating, and offshoring production facilities to a distant country, there might just not be that much of an economic incentive to move production overseas. It isn't trivially easy to offshore an entire production facility, and the profitability and long term market potential might not have quite reached a position where that's profitable yet.