Why would they want to smell like a dead bug?
I dunno, maybe so they can sneak up on other bugs?

LOL!
All dogs do that, not only to dead bugs but anything they see dead and I have had Rusty do it to my hand when we are playing and he can't win, he will roll over and rub all over my hand. I heard dogs do that so they can smell big and bad to other dogs..like they had a fight with the bug and won? Go figure.........