As you seem to be aware, frozen bloodworm as the staple diet is not good for a FH. If fed them continuously, any omnivorous cichlid like a FH will tend towards consipation and bloat. The fish will also not be getting all the vital essential nutrients it needs for optimum growth. Although feeding them frozen straight from the freezer is no real difference from feeding them after defrosting - so that is fine.
Crickets are great for fish, and definately add some variety to the diet.
DO NOT feed feeder fish from your LFS. Not only are feeders pretty low in nutrition, they are also almost a dead cert way of introducing disease into your tank. A few feeders now and again from a known, reliable disease-free source is fine, but otherwise I would say to avoid them.
Most FH's are really greedy, and eat most things eventually but like any of them, some can be very fussy. The key thing is for you to train them, and not let them train you !
Persevere with various different types of pellet. Try floating pellets, sinking pellets, different sizes, shapes, brands etc. Most fussy eating cichlids will start to be more adventurous with foods as they settle in.
Other things to try are deshelled, defrosted frozen peas, orawns (defrosted frozen prawns are just fine), earthworms.
Another point for the long term diet of your FH is that they really do need some vegetable matter in their diet for optimal long term health. Many large cichlids can be very fussy avbout eating their greens. For them I always try and get them onto eating pellets with some veg matter in them. There are a few decent brands of these, just look around. Nutrafin Max do a good large floating cichlid veg stick, and Ocean Nutrition do some (apparently rather tasty !) sinking veg pellets.
The key thing for you at the moment is perseverance, and to not give in to the fish and feed it bloodworm all the time. Let it get nice and hungry before trying pellets, and get a variety of pellets for him to try. Good luck !