While feeding whole fish to Oscars and Jack Dempsey's is generally nutritious, it isn't recommended for two reasons. First of all, "feeder" fish in the pet store are usually crowded, stressed, poorly cared for and laden with external and internal parasites (some of which can make your pet cichlids and other fish sick). Secondly, feeder fish are frequently treated and/or exposed to a variety of chemical compounds (which are used to treat their bacterial and parasitic diseases). It's possible that your pets, when consuming these feeders, could ingest and even accumulate these chemicals in their bodies.
For more information, please read Feeding Tropical Fish.