Some people dust them with calcium, I personally don't, they are pretty much just giant bags of water and calcium with some protein mixed in. No need to in my opinion.
I generally do not dust any of the worms I feed. Most of them (silks, horns and phoenix) have a fair amount of calcium as do butters. The remaining feeders are not the best nutritionally. Of the mealworms, supers and wax worms, waxes are better than the other two which are the nutritional equivalent to McDonalds fries for lizards. I have attached a table with the nutritional analysis of several feeder bugs.