The Ig Nobel Prize is awarded for research that seems funny on the surface, but actually has serious practical applications. As for urinals - they really did study the aerodynamics of splashing and came to conclusions about how to minimize contamination and save water. It sounds ridiculous, but in everyday life it matters.
The cockroach milk thing is basically a story about food for the future. These insects produce a high-protein liquid for their larvae, and its composition is potentially interesting both for sports nutrition and for addressing hunger down the line. Yeah, it sounds weird, but if you take the chemistry seriously - it's a legal and effective protein source.
Overall, the point of the prize is to show that scientific research can be about anything, even things that seem useless. Often it turns out that studying "strange" stuff leads to discoveries in biology, physics, or engineering that get applied in completely different fields later on.