Cochineal has been used for centuries (literally) for foods and for dyeing textiles by many cultures. It is still used today by hand spinners to dye wool. This is an animal/insect product and the stuff that I use is natural. While it is important for individuals to monitor their foods for allergy and safety, using an insect product for food coloring actually sounds better to me than some of the frankenstein stuff that modern chemists add to the food chain.
Some other examples of (gross) dye additives include snail slime (roman imperial purple or tyrean red, boiled walnut shells, roots, berries, lichens, seaweeds etc. Natural dyestuffs and colorants can sound pretty nasty- and calling a colorant "insect parts" is specifically worded to play to the yuck factor found among most Americans. Many cultures eat things that I would never consider, insects among them. But.... my favorite 'bug' is a water one- shrimp! Go figure :-)