To grasshopper have some kind for air sacs:
It helps them breathe better compared to other insects (And one species of them is even the largest insect in the world [in New Zealand])
So if I think that oxygen intakes in insects is less relevant when it comes to brain structure…
And with enough time to form an intelligent insect (the closest example to a real intelligent insect is bees, which have been shown to know how to count)
Side note: You can look at a completely different truly intelligent creature: octopuses. Octopuses do not have a real brain, instead they have several collections of neurons that are able to do an action that is really similar to thinking, only different … It is possible that insects will develop something similar, or something different and bizarre different … (edit: Do not forget that the oxygen concentration in water is much lower than in air [3% on average])
Yes I do not take down the fact that thinking requires a lot of oxygen and energy (20% of a person’s calorie intake per day is that of the brain) …
That is my opinion on the matter