Alfred, I've fallen off the fence already, just saw the program and thought about how to drain insects from blood. Not that I care myself anymore.
Jeffro, interesting about hemolymph, but did those on the time of the Bible really know the difference? So from a pure standpoint just reading the Bible my interpretation would be that JW should not eat insects without draining them from their fluids and thus E120 is not ok for a purist JW.
Then there are molluscs like snails and seems like they have blood http://en.wikipedia.org/wiki/Molluscs so JW should avoid them too as they are eaten including all.