That looks amazing. Is that the same structure, in different modes?
Also, I like the ideas you suggested. However, I would also incorporate the idea that Xel'Naga can change form, merge, and dissassemble at will, as if they are made of nanomachines. However, they would be a perfect mix of nano-machines and organic tech. Their cells look organic but act like nanomachines. It's the perfect synthesis of biology and machine. Some form of warping in or teleporting would make sense, too. :P
Update on the walker. I can't get it to feel right to me having it with the inverted arms and legs. This feels good though. But I don't know yet.
edit: This could just be a worker maybe?
Holy crap, whatever you use it for...Please DO use it, it looks absolutely amazing! W-O-W. I could see it as either a worker, medium unit or a caster.
EDIT: The amount of detail is ok, unless it's a worker. I say keep it as a T2 unit, the size of maybe a Ravager. Amount of detail should be fine, then. If not, keep this detailed one for the portrait and for cinematics and then bake it down and use that one for the actual in-game unit. Though modern medium-range PCs and even the game engine can handle this amount of detail on a unit. Just look at some of the more recent LotV and Nova assets.