Shallow DoF is a fact of life when working with macro-photography. Your depth of field can be as little as <2mm, so it becomes critical to choose your point of focus carefully. That said, I think that you did choose correctly as the head/thorax is a lot more interesting than the wings. I do agree however that a closer crop would improve the image greatly.
You may want to search on the term "focus stacking" and "zm combine". Focus stacking is a software-based technique which allows you to combine multiple images with different points of focus into one with vastly greater DoF than is possible in the "real world". Sort of the macro-equivalent of HDR.