+1 to everything Phil has said.

I have played about with trying to find a workaround to this quite a bit and whilst at one point I was close to a solution where I believed it to have worked, unfortunately it didn't work quite as I had initially thought.

If users of the HD500 use some kind of FRFR on-stage monitoring system and not a standard guitar amp, then there isn't a problem as both the FOH PA and on-stage monitor will require the same output mode (STUDIO/DIRECT) from the HD500

Similarly if users are fortunate enough to own a Line 6 DT50 amp there isn't a problem as the DT50 has an excellent DI output which emulates what you hear from the DT50's speaker(s) very closely through the PA system.

The problems occur when you want to use your trusted standard guitar amp on stage with the FOH PA system, as the stage amp will ideally require another output mode from the HD500 than STUDIO/DIRECT.

I have experimented with:

a) setting my sound up for my on-stage amp primarily using COMBO PWR AMP or STACK PWR AMP and then taking an output from the HD500 direct to PA and heavily tweaking the EQ at the desk.  This works to a degree and whilst the sound from the PA isn't 100% identical, it can certainly be made usable

b) setting my sound up primarily for FOH PA and using STUDIO/DIRECT.  This is far less manageable and difficult to get a good on-stage sound with a standard guitar amp/cab

c) using my Spider Valve MkII power amp section, but with the DI output mode set to Performance Mode which enables me to use the Spider Valve MkII DI output socket to supply the FOH signal.  This works pretty well and is almost as good as the DI output option on the DT50.  Unfortunately the Spider Valve MkI only has the option of STUDIO output mode which takes the DI output signal from the DSP section rather than a 'tap' from the amp's output transformer as the DT50 and SV MkII do (SV MkII DI in performance mode)

d) good old SM57 in front of my stage amp.  This works well, but the object is not to use a microphone

e) external DI box with speaker emulation using a Behringer UltraGain GI100 direct from the HD500 in which I have played about with turning off Cab emulation and then run the signal to the on-stage amp as normal but relying on the real speaker cab to do its job with the Output Mode set to COMBO PWR AMP or STACK PWR AMP whilst using the HD500 FX loop at the end of the signal chain (which is what I had come close with previously) to supply the Behringer unit with a signal, but with Speaker Emulation switched on for supplying the FOH desk.  This works reasonably well and at least provides some speaker emulation, but the GI100 only has one option relating to speaker emulation and that is it's off or it's on.  The GI100 is pretty cheap to buy at about £22 GBP inc VAT from Thomman 

f) connecting a DI box such as the Behringer UltraGain DI100 directly in parallel with the on-stage amp's speaker output (the Ultragain GI100 can do this as well).  The input impedance of the DI100 and GI100 is very high and so will only have a very minimal effect on the 'load' impedance seen by the amp's output section.  Both Behringer DI units are capable of taking up to 3000 watts of input power and so there should be no problems there.  Taking a DI directly from the speaker output, particularly with the Behringer UltraGain GI100 with speaker emulation provides the best option in my opinion for most purposes (unless you use a DT50 or SV MkII olr other amp that derives its DI output from the output transformer as your on-stage amp anyway).

Just a few ideas there which might help you in the absence of simultaneous dual output modes from the HD500 itself.

Nick