There's virtually no chance of anything nasty coming in with live food. Daphnia, for example, will only be found in waters without fish, which would eat the daphnia of course, and in any case live food today will all have been bred in special systems, not collected from the wild. No fish, means no possibility of fish disease and any predators large enough to harm fish would be blindingly obvious just by size. The danger would come from letting the live food die and decay, then feeding it to your fish. The "danger" of live food is another myth (of many) passed down from person to person none of whom know what they are talking about.