Crickets are horrible little things, as you already said, they are very hood escape artists.
You can just feed locusts. They are more expensive, but they have a higher gut loading content, are easier to catch and tend not to escape much.
I buy a half bulk bag of 50-70 medium locusts for £8 delivered, which with 1 adult beardie last 7-10 days.

Mealworms have a high chitin level in their exo skeletons which can be difficult to digest. I personally only feed them as a treat, once a month because of this.
Usually a sign of undigested insects in stools is low temperatures.

How close do you feed him to lights out?

It's possible it could be parasites as I have read that can cause undigested food in stools.

My advice would be to up his temperatures a little, get his basking spot up to atleast 105f (40 c) and see if the problem improves over the next week or so. If it doesn't, book in with your vet and take a stool sample for parasite analysis.