It's actually more important to realize that crickets are high in phosphorus, too. Most animals, reptiles included, need a balance between calcium and Phosphorus, and in crickets, this balance is way off.

That is why we dust the crickets with calcium dust when we feed them, and why we gut load them. In my keeping of Bearded Dragons, I find it useful to feed the dragons veggies from the cabbage family, as those veggies are high in calcium as well.