Ok. Answering myself as I finally got something working. Somebody correct me if I'm doing this wrong...
First, on Helix Floor (the device, not HX Edit), go to Command Center and and set the EXP2 to (Command) Midi CC and select some channel. (At some point, I only saw cc# values starting from 4 or 5, but I don't remember anymore in which program this was.)
Then on Logic, select a track and add Helix Native on it
In Native, select the patch with Wah. In Wah controls, select Knob 1 for example as the source.
On Logic Pro, select show automation and make sure you are still on the same track
Then open Preferences - Automation, click Automation quick access to: On and click learn message. Now it asks to move the wah on Helix floor. After that click done.
Set the automation mode to touch and select Helix Native: Knob 1
Now, if you record that track active, it will control and "record" the wah on that automation track and that will control the wah in native
For some reason, on other tracks, the wah now controls the volume automation. I'm not sure why. So, somebody correct me if the above is wrong. With this you can still record wet sound from 1/2 and DI from 7 as long as you are active on the track that is recording the 7 as then the volume automation on the wet track is not changed.