It’s a myth on a technicality, because it doesn’t count as “eating” them if they crawl down your esophagus without you actively swallowing them.

I've had house centipedes in my bed. I appreciate their hard work but I stomp them when possible.

You can eat roly polys. Did you know that roly polys are over 300 million years old?

You have to fry them first though, because otherwise they are toxic. But they are perfectly edible!