I doubt the reason fish prefer one type of fly over another has much to do with taste. The reasons a fish strikes any lure are poorly understood. One of the most effective lures used around here when trolling for Spanish Mackerel is made from a short length of plastic drink straw from McDonald's (Pic here). Now, there's absolutely no humanly comprehensible reason why a fish would prefer a McDonald's straw over a lure which mimics a natural bait, but they'll often hit a straw lure when nothing else will work. And the straw lure isn't unique. There are hundreds of lures which bear absolutely no resemblance to anything natural, yet they elicit a strike response from fish.

But, as to the actual question at hand, flies taste better than cicadas, stinkbugs and cockroaches, but not as good as crickets, grasshoppers and termites.