Unlike an insect like the Stink Bug (Pentatomidae) cicadas do not stink while alive.
When cicadas are dead though, their rotting bodies can be quite putrid, especially periodical cicadas.
Even in my collection of deceased cicadas, only the periodical cicadas smell bad.
We are currently experiencing the emergence of Brood VIII in our area. I am overrun with the little bugs. I can attest to the fact that they do, in fact, smell really bad when they are dead and rotting. It is no fun trying to plant anything since the smell is overwhelming! I at first thought it was a neighborhood cat using my yard as a litterbox. I had to apologize to him when I found out it was the cicadas.