The risk of parasites is the same as buying them from the store. Where do you think the store gets there crabs from? The only thing you might want to be aware of is what the water they live in might contain. Close to boat docks might have higher levels of pollutants in the cells of these crabs. Also if the crabs are cold water and your adding them to a warm water system they may die. If you are worried about parasites just set up a 10 gallon tank with a HOB filter to watch for signs of problems and keep your feeder crabs in there for observation.
Mantis eat wild crabs and snails when they are free in the wild, so why not give them some sport kills?...... hehehehe
O yea one more thing send me a bunch of them crabs. Buying crabs/snails is killing my budget.