Alex, I think I haven't explained what I meant really well. Actually, I think that a big colony, when it's established, with thousands specimens, doesn't seem to suffer from inbreeding, and small groups, whan we always keep, for every generation, a same small amount of roaches, tend to stop reproducing. But you're totally right when you say that a colony can establish with a really few roaches to start it!
Keith, in my view, inbreeding is not tho only, and probably not the main reason to get small roaches, gynandromorph and so on. It happen with loads of other insects, such as phasmids, wich may be parthenogenetic. Sometime something fail within the egg, something during maturation, and sometimes just uncommon genetics.
All those kinds of weirds individuals can be found in nature, but they often die quickly, they haven't the good adaptations. But if the weird caracteristic is an advantage, then, it can reproduce, and yes, the babies can get that difference, that's just evolution.
As you said, in captivity, roaches have no reason to die quickly, so the strange individuals live even if they should have been eaten in natura. Their caracteristic may be kept in colonies, due to their reproduction!