The concerns with mealworms predominantly with wild European hedgehogs; people were literally feeding them mealworms and nothing else, and it caused metabolic bone disease. As they say, the dose makes the posion and so long as your hedgehog is not surviving on solely/mostly mealworms, youve got nothing to worry about.
They do need a wide variety of insects in their diet though, and mealworms alone wont cut it. I recommended also looking into dubia roaches, morioworms, crickets, locusts, waxworms, black soldier fly larvae, and fruit beetle grubs - you can even offer snails, so long as they are captive bred (the same applies to any feeder, really). Ideally, you want at least 5 different types and insects should be fed daily - only certain types (like waxworms or fruit beetle grubs, for example) should be kept as treats due to their fatty nature.