Regarding products from insects I don't really see how them having an exoskeleton makes it more okay.
Regarding lanolin I'd say its the same as with wool. The sheep that was sheared has been or will be slaughtered and buying the byproducts aid that reality.

What I meant with those examples is that using vegetarian vs ovo-lacto vegetarian only lets you know if it's free of flesh or free of flesh and eggs and milk. It doesn't acknowledge the other types of animal derived ingredients.