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.
I'm on a page about incorrect corrections, and spent the better part of like two hours trying to get someone to understand that -5^2 = -25, not 25, and then that post had comments get reposted because that group is self sustaining, and that person was in turn trying to explain what I just explained to them. And I'm taking that as a victory
I will be AFK for a couple of days you guys hold down the fort while I am gone. I will be checking in on my phone but that will severly limit me. Be back saturday!