Like many fears, the fear of insects and thunderstorms can be easily explained from an evolutionary point of view. It so probably happened that those of our distant ancestors who were afraid of insects and loud sounds, left more offspring and protected him better. This helped spread and consolidate these fears in the population. Partly such fears can be transmitted at the genetic level, partly - in the form of "cultural baggage". As an example, an interesting fact about our chimpanzee cousins: their cubs are not afraid of snakes from birth, but once they see another individual get scared at the sight of a snake, the cubs acquire this fear for life.
You have probably never been allergic to bites and never ventured into the tropics. Anyway, you were lucky. Insects are creatures that can quickly and imperceptibly bring a deadly disease, parasites into your body, cause severe allergies and pain. They are so numerous and varied that it is impossible to remember them all and to distinguish between dangerous and non-dangerous for sure. And they are so small that it is often impossible in principle to see and determine their belonging before they bite. So it's very wise to be afraid of everyone just in case.
I read that the fear of insects and other arthropods arises in people because they are too different from us physically. All these numerous legs, wings, eyes, horns - the subconscious simply does not know what to expect from them, so it turns on our fear. For the same reason, even monkeys are often afraid of arthropods. But monkeys do not know that "a fly is a source of infection." Although, here I could object to myself: insects and spiders bite, and monkeys can be afraid of this.
I dare to assume that insects are often not afraid, this is disgust. And disgust among us (people) is a defense mechanism. Thus, the aversion (or fear) of insects helped us avoid the diseases that many of them carry. The same can be said for rats, for example.