I mainly keep ants, and since they need proteins... So besides being a pet, the cockroaches serve a second purpose :|
At least the Shelfordella lateralis, they're popular feeding insects^^

Gromphadorhina portentosa are pretty big, slow moving, can't fly, and make weird sounds sometimes. Not the typical cockroach.
It's just like with any other pet that isn't a cat or a dog - it sounds kinda weird until you see the animal being a pet "in action" :P