Turns out director Shekhar Kapur had to coax the roach with some rum to stand still for the shot.
Kapur wrote about it on his blog.
"Well, I needed the cockroach to be very still for the camera as he/she eyed Sri Devi threateningly. Focussing takes a long time and the cockroach needed to be patient. So we got the cockroach drunk !! No kidding, we surrounded the cockroach in a pool of my favorite Old Monk Rum, and the cockroach was soon lolling around like a drunken sailor, giving in to the DP, Baba Azmi's every demand."
Good thing PETA wasn't really in the picture (in Bollywood) 20 years ago.