I've used those screens successfully on two different fivers. They DO keep the mud daubers out. That's only so the buggers don't build their nests in the burner assembly which makes the unit inoperable until they are cleaned out. I went for years doing that occasionally until I installed the screens.
I would not think it a good idea to use regular screening material. The exhaust has high heat and would damage any screen that wasn't as heavy duty as these.
The screens don't need to keep mosquitoes or other bugs out since they can't get the your living area through those vents.
Phil