I know this can happen. I'm assuming it's okay to just leave it be? My P met sling doesn't seem to have any issue with digging up every ounce of substrate it can. So I assume it'll find it as the Roach goes scavenging.
Personally, unless I'm feeding off a mature male dubia, I always crush the heads. They still run around and put up a fight when caught (and even occasionally burrow), but their crushed head will prevent them from causing any harm to even a molting tarantula.