I feed mine 1 almost everyday. I fed my veiled a couple everyday for like 3 years with no bad effects on him. I think you just don't want them to get fat or addicted to them so people get scared to feed them often.
Just found one in my cage and was wondering if they were ok to feed. I'm not sure about the smell because I picked it up with a kleenex and threw it in a container. They do look like stink bugs though. Kind of curious about the smell now and want to touch it to see lol