There's a lot to talk about here and I'm sorry for this long answer so, here's a TL;DR:
Given what we know about veganism, biology, entomology, philosophy and agriculture, we shouldn't aim at eating insects to save rodents because that's inefficient and kills tremendous numbers of living beings that are very likely to be sentient and to feel pain.
Veganism is inherently impossible because you'll eventually hurt or kill animals. But it's a journey, and veganism is about aiming at hurting the smallest possible number of them.
If you want to maximize your chances of not hurting mice and moles in getting your food, you might want to turn to organic products, which promote biodiversity and reduce the usage of mechanical objects to grow cultures. The most efficient way would be to grow your own crops or buy them from someone who grows small quantities of food.
Relation between the neural system and the perception of pain
Takeaway: we're still learning about the matter but it's currently globally accepted that the presence of neurons is primordial for living beings to be able to feel pain. Insects do have neural systems.
While researchers are exploring the possibility of the existence of pain in living beings that do not have a neural system as we define it (e.g. trees), biology commonly accepts that the presence of nerves imply the species is capable of feeling pain (some individuals within those species may not feel pain; this exists in the human species and is known as hyposensitivity):
When we feel pain, such as when we touch a hot stove, sensory receptors in our skin send a message via nerve fibres (A-delta fibres and C fibres) to the spinal cord and brainstem and then onto the brain where the sensation of pain is registered, the information is processed and the pain is perceived.
There's targeted research about insects as well and although entomologists aren't sure they should call it pain,
[...] it now appears [...] that a lot of the pathways insects use to not only sense injury, but interpret these experiences, and respond to that injury are a lot more similar to my pathways than I had originally realized.
So if insects do not feel pain, they still sense injury and react to it in order to protect themselves ... which is a very similar response to what a human would do when feeling pain.
Are insects able of sentience and/or pain perception?
Takeaway: Sentience and pain perception are two different things and although there are good chances that the answer is yes, researchers aren't sure yet whether insects are capable of those two things.
I'd like to outline the fact that feeling pain and being sentient may be interpreted as being two different things. We saw in the first part that insects have a very similar response to injury to what other beings we know to being able of experiencing pain would do. But are they sentient?
Sentience is actually different from the ability to feel pain:
Sentience is the ability to perceive one's environment, and experience sensations such as pain and suffering, or pleasure and comfort.1
Considering the aforementioned we can think of pain as a subset of sentience, which I think is an important thing to consider given that your question wonders about whether it's okay to eat insects if they're conscious and/or feel pain.
Here's a excerpt of what Animal Ethics thinks about insect sentience:
In the case of insects, we can consider the following line of reasoning, which is an argument by homology. Insects possess a centralized nervous system that is centralized not merely due to the presence of ganglia, but actually includes a brain. It must be noted, though, that it is a very simple and small brain. Therefore, considering insects’ physiology alone is not enough to conclude whether they are conscious or not.
Takeaway: Some articles online promote eating insects because of the allegedly great amounts of important nutrients in them. However, you'll find about the same amount of said nutrients in plants, and given that it's not been proven yet that plants are sentient and/or capable of feeling pain, it's not necessarily more ethical or more effective to turn to insects to "eat healthy".
There's no doubt mice and moles get killed because of harvests and crop cultures in today's industrialized world. But is it worth eating insects to avoid killing rodents? If we look at the nutrition facts on edible insects, you'd need for instance 200g of crickets to get about 30g of protein. That's a fairly good ratio, but not better than what you can get from certain plants (you can get the same amount from hemp seeds, for instance).
Another thing to consider is that insects are impressively light in weight - you'd need to eat quite a significant number of crickets to get to these 200g.
Also, there's a certain quantity of fruits and vegetables a human (even a non-vegan one) has to eat to be healthy. No matter how much your dietary plan relies on insects, you'll have to have veggies at some point - and therefore you'd contribute to the deaths of some rodents.
Takeaway: From a vegan and a philosophical point of view, it wouldn't be effective to eat insects in an attempt of preserving rodents because way more animals would end up getting killed in the process.
Even if you grew your own produce you'd hurt and/or kill animals because of the changes you impose to the ground. Inverting the soil confuses those of them who live in the ground, you might cut them with the tools you're using, or move them somewhere else where they can't survive. One simply cannot be entirely vegan, even without eating: surveys have shown a human swallows an average of seven spiders per year while sleeping.
On the other hand, veganism is about aiming at not hurting animals and doing everything you can in order to. And if you do want to be vegan, you shouldn't eat insects, because given what we've seen regarding insects sentience and pain perception, it's not unreasonable to believe they're identical to vertebrate animals on those aspects, and by eating insects you would end up killing many more animals than by buying produce for which some rodents have died. If they too are sentient and able to feel pain, then as a vegan you should aim at hurting the smallest possible number of them.
I'm sorry I couldn't give you a clear answer on whether insects are sentient and capable of feeling pain. Neural systems are incredibly complex and there's still a lot to discover about those. For instance, we're not even sure yet whether plants are sentient - and they don't have what we call "neural systems".
The best you can do if you want to avoid killing rodents is to turn to organic products - they need less intrants and chemicals and therefore fewer insects are killed, and less mechanical tools are used which means less mice and moles are hurt in the process. The very best option would be for you to grow your own crops so that you make sure you're doing the best you can not to hurt animals but it's inevitable that some of them do get hurt and/or die. It's life, if you want to survive you have to go through this. The thing to remember is to lower our impact as much as we can.
Sources (other than the linked websites)
1Animals, Ethics and Trade – The Challenge of Animal Sentience (2006) ed Turner, J and D'Silva, J, Earthscan, London