One big reason not to feed live prey is that it fights back. Each feeding would be an opportunity for your cat to get bit, scratched, an infection, or maybe lose an eye. It could also make quite the mess of your house.

If you want to try feeding it more natural prey, it is available though places like RodentPro that we use at our rehab, and there are places that will sell whole animal pet food or zoo food. Just make sure it's the right balance of nutrients for a house cat. I believe they need very high protein, IIRC.

All those foods would be still factory farmed, I suppose one could say, but the ethics and nutrion is at least a bit different as the sourcing of the proteins is less questionable and there would be no fillers or harmful ingredients like in commercial feed, especially kibble.