"And what manor of creature would that be?" asked the Loner.
Manner.
The band sat around a whimpering fire
I would say something like, 'Band of travelers' or something similar. I say this because you use a lot of music language to describe the woods, and I generally thought at the begining of the story that this was some band sitting around a campfire playing instruments. It took me half-way into the story to realize they were not. Maybe (no, probably) I'm just stupid, but I'd advise you clear that up.
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I liked this one. I don't typically enjoy when characters are named as their architype. I think it sterilizes any connection to be made with the characters, and has the author leaning further into those stereotypes (I.e.: the Academic's biggest fear is about learning) than the actual character. It stifles any development to be made; so think'st I. More of a personal gripe, and not something you really need to take into consideration.
You had some great moments though. Really encapsulated that feeling of telling a story 'round the campfire. That line: "and the music of the forest seemed to falter at the sound of that name." was really powerful, and lead the reader perfectly out of the climax. The ebb and flow of this piece is really good right up until the end. I mean, I was enthralled from start to finished.
Your explanation for how the Vyodiea becomes known feels… contrived. Here's this terrifying beast that steals memories, and then also a Lady of Locusts, who's actually a massive hive mind? I love the idea of a sentient being with multiple 'brains' across the universe, but it just comes outa nowhere here, I think. Here's a tip: don't throw too many capitalized nouns at people, especially not if it's out of the blue in a short story like this. I'd try workshopping a few other Ideas for how this Hero knows of the beast.
In all, this is really good. Definite +1.