It already happened during the first scenario of the Red Storm campaign, while my screenshot shows the second one.
I'm not sure yet if it is related to the added unit skins, as I have also seen this with infantry units. I can't remember that was also happening during the first two Allied campaigns playing through weeks ago which are more or less skin-free.
I tried to reproduce this on a different map, but retreating units with skins normally vanished after a second when entering fogged hexes. Maybe it rather happens after several turns of playing.
Or maybe I should update my graphic drivers...

Btw, turning off the permanent wreckage option immediately cleans the corpses and wrecks, but not this graphical issue.