He is talking about pubic lice, which are actually not crabs at all, and are insects
Heh, yes, I suppose a lot of people technically do break the law this way! Actually, all humans have a lot of microscopic skin mites (yeah, it's gross), so we all break the law when we travel abroad. It's probably technically illegal to travel with parasitic worms in your digestive tract, which many people carry. Fun fun!
It's not legal to export insects from Australia, and the ones in the pet trade are almost all from smuggled animals. Keeping insects outside their currently colonised range is generally a pretty bad idea, and if you're going to do it, please make sure you are careful not to have any escapees. Most of the Australian stuff you want which can't be sourced in Europe will be legally available from the USA. The stuff most people want (mainly the three big phasmids) are so common in Europe that there are people willing to virtually give them away for free. Adult pairs of those cockroaches retail for around $100 over here, and even if exporting was legal, when you take into account the hassle and risk of them dying in transit (they love to use insecticides on international vehicles), you'd be better off buying them locally. You'll probably find that there is a legal way to get whatever you're after