It's explained in the game. There are plenty of reasons why they need cum.
However, yeah, I should've clarified the pregnancy situation more clearly: Basically, since this parallel world doesn't know males aside from the ones that get sent there from our world, DNA has never made a debut for them. You CAN, however, breed some of them, differentiating between breeding livestock (basically, animals) and breeding the same subspecies (for example, insect girl A lays egg of insect girl A). Since mgs don't physically age in this one though, they also don't know what baby/kid stages are, or growing up in general, and therefore parenthood and such are also foreign concepts to them. It's basically impregnation without the passing of genes and without parental love, they're basically spawning equals instead of babies.
That's why I said no pregnancy, as I'm unsure whether this still counts as pregnancy as we know it.