In Ruborian Desert, near the bridge to the village, there's an area with a blaster beetle spawn and an egg nest. This is to make it easier to kill the sand worms before reaching the health pillar in the distance. However when I send a minion to grab the egg it stares at it for a second then runs back to the Overlord.

I've had the problem you described too. I eventually solved it by entering with only one minion, placing myself between the blaster bug and the egg, and then sending the minion to catch the egg from there. Actually, I was holding shift and the left mouse button all the time before positioning myself, so the bug had very little chance of reaching and killing it.

Obviously I took the blunt of its attacks but at least it was a successful strategy and it didn't do much damage anyway.

Actually before the retracted bridge you have a stone road.
On both sides is sand and live those sandworms. On the left side there is also a small village.

Howwver, on the stone road there is a singular homestead. And bug nest you can use instead.

Details :
When you first encounter sandworm you kill it with a bug.
Then there are two small rock "islands" on the dune. Then you get to the rock "road". On the right hand side on a hill is a small village. On the left hand side is this single homestead I meant. With fireplace, browns pit and two rhuborian riders