I'm still relatively new to my HD500x, and I've tried putting a boost/harmonic overdrive in front of the HD500x, and the first thing that stood out was the attenuation of signal vs. direct into pre-amp. In this case I was playing through a Fender HotRod Deluxe. In terms of tone, there is noticeable compression, and loss of mids in this configuration, but it's tolerable and can be compensated for. in terms of volume output, that could also be adjusted.
I can't say that I've tried the overdrives in the effects loop, but the overdrives/boost are best in direct line with the guitar pick-ups.
most-likely separating the gain elements from the delay/modulation elements using the amps effects loop will yield the most true-to-tone results. but if you're playing through a blues-jr. or similar amp, you just don't have that option. and your guitar rig becomes increasingly more complicated.
