Rnickl, welcome aboard!
Colored spots are a mess.
The effect that Paul shows comes from dispersion, like what a triangular prism does. The edges of liquid drops can act like prisms, shining little spectra in the general direction of the lens. If one of those spectra happens to span the aperture while the drop is out of focus, then you get the effect of a polygonal highlight with an extended spectrum crossing it. The explanation is that the polygonal highlight for an OOF point is just an image of the aperture. If the aperture is evenly lit, then the highlight is uniform bright. If different parts of the aperture are illuminated by different colors, then corresponding parts of the extended highlight change color too.
It is definitely possible for lenses to introduce color, especially for out-of-focus points. See
HERE for an example. Many macro lenses will do this. But I don't think this is a good explanation for what we're seeing with your fly because those colors usually depend on which way an object is OOF, near versus far. With your fly the streaks on the abdomen and leg are all on the same side of focus, and the colors change a lot even for streaks that are close together.
It is also possible for a digital sensor to introduce color, at least in theory. But to get a strong color this way requires both that the illuminated point on the sensor is very small and the anti-aliasing filter is not working very well. I don't think the blue and red OOF streaks on your fly's abdomen and legs can be explained this way either.
And finally it's possible for the bug to actually be shining these colors toward the lens. Any transparent and strongly curved part of the bug can act like a prism. You can get interference colors from transparent layered structures or structures with a strongly repeating fine texture (think diffraction grating).
If I had to guess, I'd say these are probably true colors coming off the fly due to prismatic effects. But that is just a guess.
You mention that you know how to avoid this. Does the trick involve a more diffuse light source? If so, it seems to me that would be an argument in favor of true color coming off the bug. Or is it something else, which might argue for a different cause?
--Rik