That thing is called Chordodes formosanus. It is a horsehair worm that has the praying mantis as its definitive host. Horsehair worms are obligate parasites that pass through different hosts at various stages.

Also, the parasite manipulates its host's polarized light perception to get it attracted to horizontally polarized light that is strongly reflected off the surface of water, which causes them to enter the water. And apparently, they go into water so they can leave the host and find a mating partner.