I just got an HD500X myself, upgraded from a Line 6 Floor Pod Plus. The Floor Pod Plus does just as you described. Expression pedal is volume by default. By pushing it forward, you activate the WAH. The only way I have found, so far on the HD500X, is just as you have described, assigning WAH to a footswitch, tapping FS to activate, then using the pedal.
I keep feeling we have GOT to be missing something though. I can't see Line 6 building something as awesome as the HD500X, and making it harder to simply use a WAH and a volume pedal. That would make the obsolete Floor Pod Plus almost better to use.