I have yet to even seen a cicada shell. Is it possible to scare it away? Sounds dumb, but you can scare a tire away when fishing, so....
There's currently a thread with a few people mentioning they're failing to find one. I'll definitely try this if I see another, though.
I also think it's strange that it's a regular NM goal, but there are also a few other trivial NM goals, so it's not that much of an outlier. I guess it's because it's "dead" which sets it apart from all of the other bugs. You can have a stinkbug show up as a NM+ goal, but the wasp is the only other bug I know of with a dedicated NM goal for catching it. There are NM goals for getting bitten/stung by tarantulas, scorpions, and wasps, but those are part of the "bad stuff that happens to you" category of NM goals.
Ah, there are definitely other low-effort achievements in there, but this one is just... I don't know, oddly specific. But like I said, there are some people out there looking really hard for this thing so maybe it was intended as some sort of "lucky you!" kind of deal. Then again, some fish like the barreleye could also use such an achievement in that case...