I have exact same problem as steveb1019 with my HX Stomp. I plug it into FX return of my DT50 combo and it sounds just awful with preamp only model (I use Dual Rectifier model btw). When using full model with preamp/poweramp/cab sim it sounds very nice which doesn't make any sense for me since there's already a tube amp and cab in my combo.
Line 6 Pod HD500 that I used previously had this output setting letting you choose where you will route your signal. Whether it's amp front, amp return or studio direct. With this setting set properly to amp return it sounded amazing into the same amp with preamp only model. But apparently hx stomp doesn't have this kind of setting and it always sounds like pod hd500 in "amp front" mode. Maybe I'm missing some magic item in settings?