Hey Kenzy! Happy to hear that Oscar is doing well. His sister says "hey!"
It sounds like he is a healthy weight. It is a possibility that your vet thinks there's a "right" weight for a hedgehog, like say 400g, when we know that they come in all shapes and sizes. I'd say that as long as he can still ball up fully, and he isn't growing "thunder thighs", he should be just fine.
I've been doing a lot of research on HHC about food today! I've been trying to get ideas for Milly, as I would prefer to have her on a more "natural" diet as well. I just made my first batch of chicken-veggie-fruit-wet cat food ice cubes and I think they will turn out well. Now we just need to find out if Mildred will eat them! You might want to try this, too - it's a great way to make feeding convenient (since you make a batch and have it sitting in the freezer waiting for you), and you don't have to buy a whole piece of fruit or vegetable just to find out that Oz doesn't like it, and have the fruit (possibly) go to waste.
I actually read in several different places that mealies and crickets really aren't that high in fat. I am by no means a hedgehog nutritionist, but hedgies are insectivores... I would assume that as long as you aren't feeding him 50 mealies a night, and that he's wheeling, mealies and crickets wouldn't be detrimental to his weight. Especially since it sounds like he isn't overweight to begin with.
I would love to see pictures of Oz, to compare his size to Milly's.