The lens is fine, you need to come to terms with some totally natural optical limitations but first I have to ask: why is your focus peaking showing up in red? Did you set it that way? Mine shows up as crisp white outlines which never cover the whole subject at macro distances which I find easier to use. Although I use Pentax I understand from the Sony manual that white focus-peaking is the standard setting on your camera too.
Try focusing while using focus magnification (MENU →
View attachment 15495 (Camera- instellingen1) → [Scherpst. vergroten]) and you should be able to see the focus-peaking moving across your subject like a highlighted band. There is no way to get an insect such as this in sharp focus front-to-back at macro distances with any lens at any F-stop.
When you focus, take into account that the DOF extends about 1/3 in front of the area you want sharp and 2/3 behind the point of focus.
DOF at the f22 you say you used would only be around 3.5mm. I don't know much about insects but this seems so be some form of tiger beetle which is about 12mm long. Judging by the image, that more or less is the same as its legspan between the closest foreleg and the furthest. That is 3-4 times more than the DOF at this aperture.
What also plays is that at f22, even the in-focus parts of your subject start losing sharpness due the the impact of diffraction. Although
this test of the Laowa is on a Canon FF body, you can still see sharpness drop off dramatically beyond f8-f11. By the time you are at f22, sharpness is less that with the lens wide open at f2.8!!
View attachment 13266
Sorry man but I cannot make any other conclusions that you'd have the same issue with other lenses. Just try taking ca. 4-6 different exposures moving the point of focus a tiny bit every time, then load your shots into whatever software you use on the PC to merge the images to one completely sharp image.