lol, have you seen what roaches eat? or crickets, for that matter?
earthworms are actually nutritionally not bad (good calcium to phosphorous ratio, not too high in fat). this was just discussed in the Gekko subforum regarding feeding them to Tokays. personally, I think they'd be quite easy to gut-load; you'd just inject with whatever you wanted to load them with. however, this person is asking about treats and probably wouldn't need to gut-load something fed very occasionally.
the main deterrent would be not knowing if the worm had eaten any strange chemicals, if it's just caught from your yard. farmed worms could be OK depending on their diet.