Personally haven't used before now, but have heard of others doing so, is supposed to help improve overall coloration of them (astaxanthin is what makes cooked shellfish orange and salmon meat pink) as well as it being an antioxidant so generally good for the system.
Spirulina is also full of lots and lots of other vitamins and minerals that are good for them, eg Vitamins D ,C, E, beta-carotene, zinc, iron, calcium.
Which I would expect to stick around in a gutloaded locust.