They lose fluid through the holes and dehydrate to death. The main ingredient in the new insecticide, called Shellshock by its inventors, is diatomaceous earth. That's a substance already in common use, in products as diverse as cat litter and toothpaste. It's safe, abrasive, and absorbent. It's also a natural product, if a rather elderly one.
Diatoms are the original creatures living in glass houses.
Millions upon millions of those shells build up on the bottoms of sea and lake beds. Diatomaceous earth is now mined from what were once the beds of ancient waterbodies. When an insect wanders through a dusting of Shellshock powder, the jagged particles of old diatom shells punch through its exoskeleton. The powder particles begin to absorb the insect's fluids. Or so I've read.