Sexual ornaments contribute substantially to phenotypic diversity and it is particularly relevant to understand their evolution. Ornaments can assume the function of signals-of-quality that the choosy sex uses to evaluate potential mating partners. Often there are no obvious direct benefits and investment into mate choice is primarily rewarded by beneficial alleles that are inherited to the offspring. Inter-sexual communication via sexual ornaments requires honesty of the sexual signal, yet the question of what maintains honesty remains only partially solved. One solution is that honesty is maintained by trait expression being dependent on individual condition, since condition-dependent trait expression offers an effectively inexhaustible source of genetic variability. Here we test in the highly sexually dimorphic club-legged grasshopper Gomphocerus sibiricus if putative sexual ornaments, in particular the striking front-leg clubs, are more strongly affected by a lipopolysaccharide (LPS) immune challenge than putatively not sexually selected traits. Our results show overall little condition-dependent expression of morphological and song traits, with sexually selected traits exhibiting effects comparable to nonsexually selected traits (with the possible exception of stridulatory file length and syllable-to-pause ratio in advertisement songs). Interestingly, field observations of individuals of lethally parasitized individuals suggest that a very strong environmental challenge can specifically affect the expression of the front-leg clubs. The presence of 1% of males in natural populations with missing or heavily deformed clubs plus 5% with minor club deformations furthermore indicate that there are risks associated with club development during final ecdysis and this might act as a filter against deleterious alleles.