Children pull wings off bugs because of their curiousity. Could you imagine you were holding an object and it starting moving -- you would want to find out what exactly is moving. They dont know better enough to say "this will cause the insect pain"
For children not an awful curiosity. To Adult yes. Children for their age are more curiosity, and exploring, learning how, touch, feel. To their mind what they see.. they get idea of it and ask parents all kind questions.
