How do you feel about my children being afraid of tiny flies?
Are they only afraid of tiny flies and not other insects?
No, I think they're afraid of almost all insects.
I think kids are often afraid of insects. You could help them to understand that most insects are valuable for us and not something to fear. There's lots of great information online about that you could share with them.
I could but I'd rather see them cry and scream when I put them in a room full of insects and shut the door.
That sounds like a bad idea. That would traumatize them and they'll never get over their fear. Take a patient and gentle approach to help them get over the fear, don't scar them by doing something like that.