I think peoples memories are faltering here -
The "Mi-go" are large, pinkish, fungoid, crustacean-like entities - not insectoid, crustacean-like.
According to two reports in the original short story, their bodies consist of a "form of matter" that does not occur naturally on Earth - which means they don't show up on normal film.
They possess a pair of membranous Bat-like wings (note, NOT insect like) which are used to fly through the "aether" of outer space. The wings do not function well in Earths atmosphere/gravity.
Several other races in Lovecraft's Mythos also have wings like these - the Bat like wing thing is a common thread.
The only thing I can see a little "wrong" with the sculpts is the size, they look kinda big.