this is a mole cricket. It is probably the Northern mole cricket, tho the photo is not quite clear enough to tell.
Mole crickets can be found thru out most of the eastern North America, then south into South America.
They are usually found in moist areas near streams and ponds, but also in gardens and agricultural fields. The adults do come to lights at night, so perhaps that is how it got in the grocery store?
This insect is a herbivore…they feed on plant roots. It takes two years to complete a generation in most of N America. The males do have a call they make to attract females to their burrows, then the female lays her eggs and then guards them thru the second or third stage of life.
Some mole crickets can be pests of turf due to their tunneling..