A bug. No really its some graphics error of a prototype baneling left because from one of the zerg terrain doodads or something like that. I've seen it once before.
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They're not specifically from HotS, they were in WoL since forever. I think they appear either on a specific terrain type, or when you use terrain objects. There are 2 terrain objects which basically form a hole, in which you can see some tunnels filled with these locusts. I don't know exactly where they are used in the campaign maps, though I think it was on that mission where you have to fight the Leviathan (when you blow up parts of the space station, I think you can see them crawling below)... The reason why these locusts appear in the corner of a map is still unknown, some people said it was some kind of easter egg.
Custom (EU): Ikari Warriors v2.0 | Sand Worm Survival v1.0 | The Last Hour (alpha)
Melee (EU): Flooded Slums | Rooftop Gardens
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Lol, people calling them Locusts because I used them as Locusts in my HoTS custom map...
Anyway, ZealNaga is right, those came from WoL terrain objects. They aren't HoTS-realted at all. And to me they look a lot more like Half-Life's snark .
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