It turns out that the zanj sun squirrel (Heliosciurus undulatus) is a small rodent only found in sub-Saharan Africa and specifically in the subtropical and wet tropical coastal forests of Kenya and Tanzania. Its diet is largely fruit and seeds and some leaves and with insects in some seasons. No-one seems to know much more about them except that they make nests in tree hollows and chatter loudly. While there is very little data available about how many there are and so it is hard to assess how threatened they are, the clearing of their habitat has to be of concern.
There has been speculation that they may be involved in the spread of diseases to humans but, given how little is known about them, it's hard to know how accurate this speculation is.
While smaller animals like the sun squirrels don't have the appeal of the bigger and more spectacular species they are still a vital part of the ecosystem in which they live and we ignore them at our peril.
The best photos I could find of these elusive animals were these and the best of what little information about them was available I found here.