This episode introduces the fact that cockroaches cannot be destroyed by magic.
The cockroaches are mentioned again by H.P. in Pixies Inc. when noting about everything Cosmo did in the past.
Apparently everyone except Cosmo knew that cockroaches can't be destroyed by magic. Considering what happened in this episode Timmy may not have completely believed that cockroaches can be destroyed by magic until this episode (as he wished the roaches to be dead by Cosmo's request which didn't work).
According to Timmy, Martians can destroy everything except cockroaches.
The episode pairing Cosmo Con and Wanda's Day Off! is the only episode pairing that have Cosmo and Wanda in the names which is possibly a coincidence.
In the book Thirteen by Lauren Myracle there is a quote mentioning Timmy Turner battling roaches.
Cosmo and Timmy getting into a very sticky situation and Wanda ending up making everything right again.
Juandissimo: [covered in cockroaches] Ladies, Come back! Beneath this crunchy roach exterior beats the heart of a lover!
Wanda: Who else got the swirly pink hair dance? Anybody? Just me?
Cosmo: That's okay, we can stop the cockroaches by introducing their natural predator [poofs in an ecology book and flips the book to a page that shows a frog that is about to eat a plate of cockroaches], the African bog frog!
Timmy: That sounds logical, let there be frogs!
(Cosmo poofs in several frogs)
(9 minutes later)
Cockroaches: [tamed the frogs into mounts]
Juandissimo: Could it be... Wanda. The love of my life. Who I lost to Cosmo. Who married you when I lost you. So you stay lost to me?
Wanda: [on the phone] Is that Timmy yelling, "Wanda!"?
Cosmo: No, he's saying, "I'm on the phone', you're breaking up!" [makes static noise and hangs up]----
Timmy: Cockroaches continue to show single-mindedness. Cosmo continues to show empty-mindedness.
Juandissimo: [looking at himself through a mirror] No!!! [stops to admire his muscles] No!!!
Wanda: My "Cosmo Is Going To Make Timmy Dead" sense is tingling!
Wanda: I love you two. But you're idiots!
Cosmo and Timmy: But we're your idiots!
Timmy: Where did you send them(the cockroaches)? (Wanda smiles to herself and looks at the screen)
Cockroach: World Domination!
Cosmo [making static noises to Wanda over the phone] Can't... shhh... hear you... I'm going through a tunnel... [sinks into the pile of cockroaches] Ack! This tunnel's itchy!
Juandissimo: You must not leave, you must stay here with me.
Timmy: I don't know Cosmo with Wanda not being here and you being here.
Although this episode along with "Cosmo Con" were premiered in January 10, 2003 in the USA, they were produced in 2002 according to the credits.