A collision between two objects results in a force being applied to both objects, obviously.
According to Newton's Third Law, both objects experience forces which are equal in magnitude but opposite in direction. But... the collison causes one object to speed up and the other to slow down (changes in momentum). However, according to Newton, the magnitude remains the same for both. But the Law says while the forces are equal in magnitude, the "acceleration" is not necessarily equal in magnitude... the acceleration being dependent on the mass of either object. Since, in your case, the masses are dramatically different, the acceleration of each will be unequal . F=m*a proves the object with the lesser mass will receive the greatest momentum. Since the bug has lesser mass it receives the greater acceleration which it structurally can't withstand. The splattering also conserves energy since the momentum vector is changed (and some energy is converted to heat)...