Yeah, insects have brains. And pain. Many have some degree of personality differentiation, even if the space of possible variance is pretty narrow compared to humans. I certainly can't prevent most of the insects of the world from experiencing what is, to them, a hideously painful death (and indeed, have sometimes hastened that process for crickets when feeding them to pet mantises), but when I see a little dermestid beetle crawling around where it'll certainly be hit by a car, my impulse is to save it. To the extent I'm interested in justifying that, it's that I can make a difference here and now for this organism, and want to do so.