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Keetmanshoop, 26.615S 18.165E, 930m, on light

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ventral

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hmm, not a male of Stonefly?

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No, in hand in is clear that it is something unusual. (And there is no river for stoneflies in Kalahari, only temporary streams after the rain.)
Now I got WiFi (though very slow one) and checked exotic orders. Seems it is an Embioptera.

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Yep! |t

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I got from one of my friends other opinion that it may be Grylloblattina

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I think you are correct with Embioptera. 3-segmented tarsi including swollen foretarsi, conspicuous eyes and wings all say not Grylloblatodea.

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And Grylloblattinae are not known for Africa, I suppose

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If you have the time, have a look on Kilimanjaro perhaps? ;)

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According to available sources, a single species has been recorded from Namibia so far (doesn't mean much for Africa, I'm afraid), Dihybocercus nigra Ross, 1955 (Embiidae). The species from this genus are apparently more brightly-coloured, sometimes looking much like Paederus rove beetles (Annu. Rev. Entomol. 2009: 54, p. 14, Fig. 15). Maybe nigra is, well, nigra.
Just in case, the genus diagnosis (males) from Davis, 1939: Winged, R4+5 forked, M simple, cubitus 3-branched, the two lateral branches arising anteriorly from the stem, pectinate. First segment of hind tarsi with two large ventral bladders. Tenth abdominal tergite completely cleft; process of left hemitergite complex, with a flat latero-dorsal lobe. First segment of left cercus with inner margin produced in two lobes, both bearing numerous small teeth.

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Thank you, Dima!