I'm sorry about the hen.
Look like she was in poor condition, she may not have made it no matter what you tried.
I do suggest that since she came with the other birds, that you go ahead and get some Permethrin poultry dust and dust all of them for lice. That was the bug you found and have a picture of. Repeat dusting in 5-7 days intervals. It's a very good idea to treat housing too, Permethrin spray is easier to use in housing to spray down nesting boxes, roosting bars and get into corners of coops.