I don't know what you mean by a "clean" cricket but the best way i know how is that their enclosure is clean and water food your using for gut load is always fresh and never rotten or moldy. Then when you feed them to your gecko make sure that there's no poop laying around because the cricket can eat it then your gecko when basically be eating their own poop.
Since I'm not sure what "clean" exactly is I really can't explain what happens to a gecko when they eat a dirty one. But I have heard (don't quote me on this) that sometimes mealworms/crickets can carry parasites that can possibly infect your gecko. It might not hurt them but then again it can. Your best bet is to keep an eye on your gecko for any sicknesses then go to a vet to clear it out.
another reason people may pull off the legs is that the really big ones have spines on their legs. probably wouldn't hurt the gecko, but it's all up to personal preference.
at the store where i work the "small" crickets can range from pin heads to 5/8ths. while the "large" range from 5/8ths to full grown.
The jump legs have spines that could injure the gecko's mouth. I remember there are cases where gecko gets mouth infection from it...I think its better to pull off those jump legs, just to be safe.