Well the way I know things you have 2 basic options:
1) Diffusion - if you can get a sheet of something (paper, light seethrough plastic) or move into a more naturally shadowed area you'll lose some of the harsh intensity which causes the big blowout on the eye and parts of the insect shell
2) Shift to shooting at a time of the day when the sunlight itself is more diffused - ie early morning or evening or even on days when the cloud cover is more dominant.
Of course along with diffusion you also lose power of the light itself, which might well mean that you've got to use wider apertures and also higher ISOs or even slower shutter speeds - pushing you more toward tripod based macro photography. You can of course choose to add your own light - this can be from anything as simple as reflectors through to flash setups.
Of course flash itself can also cause its own hotspots on insect shells and eyes and the whole area of flash light diffusion gets full of interesting custom setups. One method for the flash is the concave flash diffuser test which might also give you ideas for natural lighting diffusion as well.
Juza Nature Photography Forum • View topic - Concave Flash Diffuser Test