My understanding (perhaps wrong) was that it primarily applied to live food. There are sometimes parasites in my frozen tubifex - I found what I think was a leech once and occasionally see small beetles, but since they're dead I've always just tipped them in the tank with the rest, and they get snapped up. Live food is a different matter, since if there's anything except the food animal in there, it may also be alive - particularly feeder fish, since they can carry all the same diseases any fish can, and are generally kept in worse conditions and are thus more likely to have them to start with.