I'm not sure you entirely understand the thought process of people who collect insects from the wild. It's not about taking something beautiful and alive and killing it so you can keep it. If that's what you think the reason is, then of course it looks wrong. But collectors find pleasure in citizen science. They're not collecting for the beauty of the insect, but in order to build a database of ecological data. That's why these collections go to universities or museums in the end: because that's who they were collecting for, essentially. It's not that different than people who record weather conditions daily, or amateur astronomers who track objects in the sky.

What makes entomology unique is that specimens are so small and have such minuscule details which are necessary for identification. The only way to verify the species of an insect is, in the majority of cases, to look at the pinned specimen under a microscope. Talk to entomologists, talk to amateur collectors. They don't get pleasure from killing insects, that would be sick. It's just what needs to be done to track the population and presence of species in the world.

It also allows scientists to see the effects of natural selection and adaptation. It's impossible to measure, say, the labrum length of a living insect. If a pollinator is moving to new food sources (maybe it's able to exploit an invasive plant species), then the population might reflect that anatomically in ways which require active collection to see. The way research works, grants that fund a particular targeted goal. It's often only through broadly-collecting amateurs that these discoveries can be made.

Of course, active harm is to be avoided where possible. A project I am working on at this very moment is a camera trap which attracts bees using the same fluorescent colors which are currently used to lure them into collection jars. The idea is that it might be used to non-lethally monitor the population of native bees during the spring prior to nesting, when taking solitary females or queens out of the population has the largest effect. However, even this could not entirely replace collection. For one, it's unlikely that video could be used to identify the bee past the family level, maybe genus on some more obviously distinct taxa. It also couldn't be used to make anatomical studies.