Hey!
You said you didn't notice any white fuzzy spots, so there probably isn't fungus (and I can't see any on the photo either).
Did you test the water using test kits before and after the water change? This will give you accurate numbers, rather than assuming levels are okay after a water change.
A lot of things can affect their gills. One, being genetics but that can't be helped. A high rate of water flow will stress your axies out and cause their gills to curl forward. If there is flow coming from your filter just attach a loofah and that will reduce the flow. Or you can prop some decorations up under the filter to disperse the flow (there's heaps of threads on here on how people do that).
As for the filaments on the gills I believe they can reduce if there is too much oxygen in the water (someone please correct me if I'm wrong). If there's lots of oxygen then the axie wont need the filaments as much so they will reduce.
I would suggest moving from feeding crickets to earthworms. Insects with a hard shell are more difficult to digest, so it isn't recommended to feed them as a staple (this includes mealworms). Earthworms are much more nutritious and it makes them look like they're eating spaghetti!