[borism]

This suggests to me that the ancestors of this wasp would simply paralyze the roach and lay eggs inside, and this behaviour evolved from that.

That would be backwards evolution.

From the scienceblog link:

Amuplex is not technically a parasite, but something known as an exoparasitoid. In other words, a free-living adult lays an egg outside a host, and then the larva crawls into the host. One could easily imagine the ancestors of Ampulex as wasps that laid their eggs near dead insects--as some species do today. These corpse-feeding ancestors then evolved into wasps that attacked living hosts. Likewise, it's not hard to envision an Ampulex-like wasp evolving into full-blown parasitoids that inject their eggs directly into their hosts, as many species do today.