When I had dubia a sniff of their enclosure gave me a peculiar stinging sensation (not really a smell) in my nose and sinuses that I have come to attribute to allergies. I kind of feel the same way when I sniff something I'm allergic to, like juniper.
However, I can't say I experienced the other symptoms of allergies, so it could just be an irritating gas rather than an actual allergic reaction.
Lobsters and lateralis? Well, they just smell bad if you don't take good care of them (which I tend not to). Never linked their stink with any sensation I attribute to allergies.
edit: a side note, I always kept my lobsters on a substrate whereas my dubia I kept with no substrate. Maybe that affects things. Lateralis I have kept both ways and never been allergic, but I do recognize the smell of dead roaches from across the house every now and again.