This article https://www.allaboutbirds.org/the-beauty-and-biology-of-egg-color/ provides a number of interesting examples from bird eggs which suggests reasons why conspicuous eggs might not always be a disadvantage. I'll summarise some of the most relevant.
1. Group nesting
Several Great Tinamous lay their bright blue shinny eggs in a single scrape in the ground. The eggs are not camouflaged despite the risk of predation. It is suggested the bright colour of a Tinamou egg attracts other Tinamous to lay in the same nest. It is theorised that the larger number of eggs means it is less likely a predator will be able to consume all the eggs in the nest.
This could be a good fit for your giant centipedes, especially if they are a species which already produces a large number of eggs, with a small proportion expected to survive.
2. Parasite protection
A number of species have highly patterned eggs to distinguish them from brood parasites like cuckoos.
Bioluminescence could be a signature which is hard for the parasite species to mimic. However this would require that the parent centipedes give sufficient brood care to attract such parasitism. This benefit would have to be weighed against the cost of the increased visibility to predators.
3. Improved visibility
Hole nesting birds often have quite conspicuous white eggs. This may simply be because there is no need for pigmentation for camouflage as the eggs are already concealed in a hole, however it may also help the parents to see the eggs in the dark.
The centipedes may nest in caverns or other enclosed nest holes, where predators spotting the eggs is not an issue. The bioluminescence may help the centipedes to see their eggs, and care for them, or simply avoid accidentally damaging them.
Quantula striata, A terestrial snail species, actually does produce bioluminescent eggs.
An additional suggestion (which I have no real world example to back up) is that the luminescence could simply be to protect the eggs from accidental damage. Perhaps the greatest risk is that the eggs might be trampled by some careless herbivore. Any such creatures might be very willing to avoid any sign of the giant centipedes.