They don't smell, they are hypoallergic. Only people that have problems with them are the ones that are allergic to their frass (insect droppings.)
Many tropical roaches, particularly South American ones, cannot climb plastic or glass (although they can climb silicone) so you can keep them without worrying about escapees. If you have enough of them breeding in a cage, you can use them as compost. And a lot of the commonly kept species of roaches (discoid, dubia and so on) cannot fly, so you can handle them. A lot of the tropical ones cannot breed in temperatures lower than 80F, and humidity of less than 70% so infestions are not usually a concern.
Mind you, I hate American and German roaches-- even though I adore the flightless, climbless tropical ones. I think the Australian burrowing roach cannot fly or climb either.