Disclaimer: I am trying to answer the question without finding any academic research on the topic. So, appreciate hypotheses and feel free to point out mistakes.
Short Answer : Co- Evolution
Broad Answer: 2 hypotheses
The gamete stage of Malaria parasite simply co-evolved with Anopheles sp. to develop a protective mechanism to survive digestion in crop. Whereas, the other stages of Malaria parasite didn't co-evolve, so they get digested.
Parasites had already the protective mechanism for surviving digestive enzymes in Anopheles crop. They entered mammals later and evolved a life cycle with a new protective mechanism for new host's immune system.
Why is that?
The answer to this question is not so clear according to known biology, as I haven't found much research in this phenomenon.
But, we have to remember that biology sometimes (or always?) doesn't explain why rather explain how.
The following words are corresponding to what I think about the mechanism of this co-evolution
It could have simply happened that some point in ancient times, the gamete entered the Anopheles crop from a mammal, but not only that; it tried to continue its life cycle on this new host. But, the environment of crop was unsuitable for the gamete to survive due tto digestive enzymes. So, the first few million or billion tries went into vain. But, the parasite slowly started to evolve to adopt in the Anopheles crop.
After 'some' time, the parasite developed a working protective mechanism from digestive enzymes and continued it's life cycle in Anopheles.
As @Another Home sapien points out, there should be some benefits for this evolution. While it's hard to tell exactly what the benefits could have been; I think it's simply to adopt to new potential host's physiological environment.
But why didn't other stages evolve of Malaria parasite in a same way?
This is another hard question to answer. However, it's not so that only the Anopheles and the parasite co-evolve; the mammal host co-evolved too in this period. And the whole system evolved gradually to get to the present life-cycle of malaria.
It might have happened that the original host to malaria parasite was indeed Anopheles. So, it had developed a protective mechanism long before entering any mammal host. Then, after entering the mammal host it developed another protective mechanism to survive host's immune system and continued it's life cycle.
I think hypothesis 2 is more probable as insects pre-existed mammals. Another hypothesis can be drawn the life cycle of parasite is shaped up simultaneously in mammal host and Anopheles host. But, it's hard to hypothesize what could have happened in this scenario.
Reference : 1. Wiki: Co-Evolution
2.Article on this co-evolution