I was trying to capture a butterfly in Skyward Sword, when I accidentally hit B and put the bug net away. Unknowingly, I continued to swing. This armed my sword, and before I realized it, I had killed the poor butterfly I was trying to capture.
I had a similar incident early in the game, before I bought the bug net: I tried using the beetle to capture a grasshopper. To my horror (and probably the grasshoppers), the beetle killed it.
Does killing an insect effect the game at all? Or are there enough bugs to go around?