Just keep the mulch at least 6 inches away from wooden surfaces and you should be fine. Even better if you use a wood mulch that will actually repel or deter them - redwood, western red cedar, eucalyptus.

Most mulch especially colored mulch anymore is treated to repel fungus and insects.

Haven't had issues with termites, but omg the VOLES!!!

I would recommend bark rather than a wood chip based mulch which is what most dyed mulches are. And a hardwood bark keeps it's color all season where a soft wood bark mulch looses it's color during the first season. Insects tend to live either under the bark or in the wood and tend to avoid the bark.