The Necrochasm can cause the Cursed Thrall Explosion on any enemy but the Harpy.
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Been like that since the beginning. Not sure why that is nor why it hasn't been fixed.
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Fallen servitors also share this immunity to firefly, nechro, bloom
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Firefly doesn't work on them either, even though they have a crit spot
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I have also noticed that they do this with Bloom, even though they die to a grenade/energy drain, bloom doesn't proc. Harpies just fade out of existence. I haven't tried it with IB yet, but I think that they can't explode after death.