.If your Vox amp has built-in fx send/return the answer is yes. You can set patches to have your amp anywhere in the signal chain.However if it doesn't have the send/return facility all your Pod fx will be 'pre'.
I have a Crate V1512 which doesn't have the fx loop so is basically useless with the HD500.
It depends on how you cable up your HD500. If you simply plug it into the front of your Vox then the answer is 'no'.
If you want to run effects before the Vox's pre-amp section (e.g. distortions) and after the Vox's pre-amp section (e.g. delays and reverbs) then you need to use a special cabling method called 4CM.
There is also a video from Line 6 the describes the setup --> http://line6.com/support/docs/DOC-2112
And finally another document from me that describes the specific way to set up 4CM on the HD500 --> http://line6.com/support/docs/DOC-2522