Another Expert has looked at your photo and thinks the insect in the jar looks like a cicada nymph. Compare here:http://www.uky.edu/Ag/CritterFiles/casefile/insects/homoptera/cicadas/cicada.htmlhttp://www.hiltonpond.org/images/CicadaDogDayNymph02.jpg This document discusses cicada damage to fruit trees,http://extension.psu.edu/plants/tree-fruit/insects-mites/factsheets/periodical-cicada but it refers to the periodic cicada (17 year) and I don't think that species occurs here. Minnesota has mostly annual cicadas and these don't hatch in the huge swarms and aren't likely to do much damage. If borers are present, the cicada isn't one of them. 

Thank you so much.  After keeping that bug in a jar overnight, it shed it's outside skin, and I became aware that it was a cicada.  Thank you for the confirmation.  I didn't realize there were annual cicadas.  I thought they only came up in periodic broods.  

So, I saw a bug fly into the trunk of that same tree (see attached picture).  I think it's a yellow-jacket.  But, I don't want to get stung, and I realize that some borers (crown and dogwood) appear similar to bees.  

I also attached two pictures of the amount of frass near the trunk.  Is this a yellow-jacket?  Do they emit that much frass? Any suggestions on next steps? Should I just buy some bee killer off amazon?  Also, one of the frass pictures shows I have a lot of millipedes and centipedes near this tree.  

This tree has a lot of problems.  It's an ornamental crab apple tree.  I believe it has suffered from apple scabs for years without treatment.  I did spray twice this past spring.  The tree still has lost about 1/2 of its leaves (the other 1/2 have already fallen), but my neighbor tells me the tree is doing better than it has in the past.  I just moved into this house 6 months ago, so I'm still learning a lot about it's trees.

Thank  you so much!!

Thank you for the additional information. The crabapple tree doesn't look good and appears to be rotting out. Whatever the reason, the insects in the photo are not the cause of the tree decline, they are just taking advantage of its weakened state. The first insect looks like a type of vespid wasp but I'm not sure exactly which one. I don't know why it flew into the tree but maybe it's feeding on other opportunistic insects in the tree. The wasp isn't the cause of the sawdust at the base of the tree so we don't advise using any type of insect spray at this time. The best option is probably to remove the tree and start over next spring with a disease resistant variety. If you want someone to look at the tree and give an accurate diagnosis, hire a certified arborist to examine it and list your options: http://www.isa-arbor.com/publicoutreach/whyhirecertifiedarborist/index.aspx