I keep alot of mantids and find that they are fickle thinks. 1-3 instar I have my highest mortality rates. Sometimes they just keel over for no reason so don't beat yourself up over it.
Yeah not sure a heat lamp is the best method of heating, it's a bit intense especially if they can live happily at room temperature. If you have to give them heat then a mat is a better idea. What I'm doing with my Violins is the jars are in a tub and I've got a heatmat on the side of the tub.