From IEEE Spectrum:
The reason to go with little tiny rockets for microrobots (as opposed to a more conventional propulsion system powered by batteries) is fairly straightforward: energy density: you can get a lot more energy per unit of mass from a rocket than you can from a battery. These particular rockets use APCP (Ammonium Perchlorate Composite Propellant), and each has multiple stages, with integrated "delay charges" that modulate the thrust from the rocket by significantly reducing its output for up to about five seconds. Here's what the design looks like:
As IEEE Spectrum aptly titles this video:
"BWAHAHAHA DID YOU SEE THOSE PUNY HUMANS FLEE IN TERROR?!"