In this project of mine a species of sapient, spacefaring insectoids exists among humans and humanoid species. The insectoids are puzzled by something in humanoid cultures- specifically the idea of eating and drinking for pleasure and not just for survival (the insectoids have a sense of taste but in their minds it's more about alerting them to whether something is poisonous or not)- notions of 'flavour', gourmet meals and people of upper social strata enjoying 'better food' than the rabble are confusing to them- does this sound like a likely attitude sapient insectoids might have?
Up to you
At first glance this may seem like an opinion-based question. On second thought, if you wish to base those aliens on actual insects, this will vary by species.
Among bees, there is a special kind of honey called royal jelly that is fed only to larvae of queens.
Spiders are not insects, but they are bugs as well. Many weaving species will eat their own web if they can't catch anything. Less nutritious than prey, but at least they don't starve right away.
There is also an herbivorous species of spider (no, really!) that will sometimes eat ant larvae, maybe for the extra protein content.
So the existence of bad but edible food, good food and better food does exist among arthropods. How they deal with it depends on how their society is structured. If your aliens evolved from social insects with a royal caste such as bees, then it's a no-brainer: what they eat makes their very identity within the hive.
However, they might also come from social insects such as carpenter ants or some other farming ant species that only eats one thing ever. Many ants grow fungi in their nests and eat bits of the fungus and nothing else. This would make them feel like anything else either tastes bad or is inedible.
If you do want them to deal with food differently from how humans do, it's up to you. This would make them more alien to us and might make for some interesting worldbuilding.
Yes it does
As with all xenocultures, what is normal or promoted in one does not necessarily need to be understood by the other, humans having a desire for pretty or tasteful food is no difference. Insectoids (klackons?) only need to eat "enough", they don't need to make a cult from their food, especially since normaly their food has quite some capability of eating them instead. Surely they would be puzzled, especially if they are also eusocial, having no other pleasure than to serve the hive.
Food quality doesn't matter only by taste but also by nutritional value. The "rabble" eat fast-food; the "rich" eat salads and grass-fed meat. "Rich people's food" is more consistently healthier than it is tastier. Maybe your insect people have underdeveloped taste buds, which still means that they can find the concept of eating for pleasure exotic, but that doesn't mean their food would be the same across strata. You can still have an elite fed on "royal jelly" while the rabble gorges itself on trash - for purely practical and survival reasons.
If anything, what they could be truly puzzled about is how humans become so enthralled by food of subpar nutrition and develop all kinds of health problems by eating them (addiction, diabetes, obesity, etc.). They wouldn't easily understand that junk food is optimized for taste to the detriment of everything else. It would be similar to our amusement at bugs seemingly loving to fly towards light which kills them.
As @Tortliena said in a comment to the question: practical eaters...
Their sense of taste could be adjusted to strongly favor what they truly need to survive (and thrive physically). That gives them a competitive advantage over species that strongly favor food and beverages that make them feel good. The latter can be dangerously misleading when it comes to food choices. Example: humans.
These preferences cause at least two problems among our species: obesity epidemic, and adverse effects of cravings. The latter one is a problem under severe conditions where resources necessary for survival are transferred to produce and consume enjoyable things... whose return value is too often, let's face it, negative.
Eg. sometimes the actual problem about moonshine has been that people have been short-sighted and used grain to make booze, leaving them hungry later on during the harsh winter. And sometimes the booze was distilled too hastily, leaving too much methanol in it, causing problems of its own. And, many people can be bribed as easily as just by providing enough enjoyment, and it is more likely to fall for it if the situation is not enjoyable. Threats to survival, all because of craving for enjoyment.
If you are a practical eater, things like this don't happen.
From their point of view, our need to enjoy (even occasionally) what we eat and drink is a liability. They look down to us, not because of what we consume but what it indicates.
Impossible to say, until insectoids are better defined
The answer depends on other aspects of their physiology and culture.
We enjoy eating tasty food because it evokes pleasant feelings. Can they experience physical pleasure? Can they experience pain? If they can't, many other aspects of our culture will be out of their comprehension.
Wee eat expensive food because it's an attribute of a high social status. Do they have this concept in their culture? If they don't, other impractical expensive things will confuse them.