I believe the reason is that the IFD isn't actually sending any waypoints the HDX can use to navigate. If you go to the FPL menu and select the Avidyne source, you'll just see a bunch of entries with blanks and dashes until you get back to the hold fix.
It would be great if this worked, and if there's a way perhaps
@Dynon can chime in, but I see the same behavior on mine.
