There is no pigment made from cochineal.
Real cochineal is a dye (not pigment) that is extracted form a beetle, but it is a potential allergen. Although it is often referred to as cochineal, it is...
M&M's don't contain cochineal, or any other bug product, at least in the US. They're kosher, and kosher food can't have bugs or bug bits in them. They only became kosher about 12-13 years ago,...