Oh yes, the insects get inside! That's the part I hate!
I bought my first GH used, a Charlie's. My mother and I sprayed a jet of water down each channel to get the bugs and algae out but now that the GH is up, it would be a lot trickier to get the bugs out. I think they got in because the panels don't fit as square or snugly as they should so if you construct it carefully, it may not be an issue. So far my second (purchased new) GH hasn't suffered the insect invasion!