We investigate the spatiotemporal dynamics of cavity solitons in a broad area vertical-cavity surface-emitting laser with saturable absorption subjected to time-delayed optical feedback. Using a combination of analytical, numerical, and path continuation methods, we analyze the bifurcation structure of stationary and moving cavity solitons and identify two different types of traveling localized solutions, corresponding to slow and fast motion. We show that the delay impacts both stationary and moving solutions either causing drifting and wiggling dynamics of initially stationary cavity solitons or leading to stabilization of intrinsically moving solutions. Finally, we demonstrate that the fast cavity solitons can be associated with a lateral mode-locking regime in a broad-area laser with a single longitudinal mode.