I'm quite sure it was a bug on Blizzard's part. Since you use terran and protoss heroes in the campaign, they work fine. Zerg heroes however don't have a hero border(that I know of).
You can use the fix found here. That will just make the zerg hero borders use the terran borders instead.
You could also use a custom zerg hero border. This one should work.
Ghan has said he has fixed this. Monovertex please confirm this fix. This was only a problem with people that had signatures in the upper levels like not the special members but the respected members.