Your area should be similar to mine.
You can find daphnia in most waters - water canal, drain, stagnant water, etc. The question is the quantity - is it worth scooping (unless you only need it for a culture starter). You need to "learn" where to find them in large quantities..
You might also get water mites(?), those greyish round or oval types (you want the pinkish types). Most bettas wont touch them. They are useful in small quantities as cleaners but can do damage in bigger numbers. So you have to siphon them out periodically.
They may carry diseases/bacteria as they are in nature - and specially if it's sort of a sewer system. But rinsed well a few times and clean them from whatever wastes, they should be fine.
I buy my daphnia, gathered from canals and sewers. As long as I rinse them until I only have daphnia, they're safe enough for my bettas. I also buy ML which were also collected in the same way and similar water. I only feed less active/sick bettas ML ..... if they carry that many parasites, my bettas would all die.
The most risky foods is tubifex. If they die in your betta tank, they can cause problems - even though you previously rinsed them very well.