Although cochineal may be used as a food colorant, I am surprised that it would be because as a product for dyers it is very, very expensive. I understand that the price has recently gone up again because there was something that has drastically reduced the cochineal population. So I suspect that if not already, in the very near future cochineal may not be used as much as it is at present.
You should also note that on food lableling they are not required to list an ingredient that is less than some minute amount, not sure what it is, so likely we are all taking in a few bugs, etc. I try not to dwell on it, if it really mattered to me I would be growing all my own veg and killing my own animals..... eww, I can barely carve up a chicken.