Fun fact, that actually doesn't happen as often as people think. Most observations of it are in a lab setting which can be stressful for the insects, leading to a bit of abnormal behavior. It does happen in nature, just not nearly as often.
The butterfly effect refers to chaos theory where all events are interconnected no matter how small, so a butterfly flapping its wings in Tokyo could cause a tornado in the mid-west USA. The lady bug is pure myth about one landing on you bringing good luck, no idea what specific culture/myth that’s based on though.