The reason it does not make sense is that you are thinking of a simplistic explanation of evolution. While it is easy to imagine a single organism being born and exposed to selection pressures, it really works with larger populations and over larger periods of time. For instance:
What would happen is a population of bug would develop into several bloodlines, each with its own mutation. Perhaps some would be slightly larger, or a little bit yellower, or somewhat bad-tasting. Predators would still be willing to eat the bad-tasting bugs, but not as much as they would like the other bugs. This means that there is a clear pressure toward tasting nasty, and also being distinguishable as being an icky one.
Predators would be looking for a way to tell the foul-tasting bugs apart from the normal ones, so those that interbred with the yellow strain might survive better than the standard color scheme. Once predators link that color with tasting bad the selection pressure would be toward tasting worse and being more vividly marked. Normal-tasting yellowish bugs might even be more likely to survive despite tasting OK, and become one of the many "fake" poisonous species.
Large populations with inherited mutations exposed to slight selection pressures over long periods of time isn't as dramatic as a single organism being eaten or not, but it is more accurate. The key is that even the foul-tasting bugs would get eaten to some extent, but not enough to wipe out their entire bloodline.
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