There's a trick:
1. On the Setup > MIDI page, set MIDI Out/Thru to "OUT"
2. Run a (preferably short) MIDI cable from HD500/500X's MIDI OUT back to its MIDI IN
3. On the MIDI Assign page, from the desired footswitch, set:
• MIDI CH to "Base"
• Message to "Bank Change"
• Bank # to the desired Setlist: Bank #000 is Setlist 1, Bank #001 is Setlist 2, Bank #002 is Setlist 3, and so on
4. From that particular preset, step on the footswitch. POD HD500/500X will jump to the specified Setlist
Of course, this implies that you must program the desired setlist into each and every preset from which you may want to access it.
Alternatively, you can create a "Bank Jump" preset (at, say, 01A in every Setlist), with Footswitches 1-8 assigned to select Setlists 1-8.