I actually place my compressor, gain/distortion/fuzz pedals, and my EP Booster *before* guitar in on the HD500X. (I did the same thing with my former HD500.)
I leave the compressor on. The gain/distortion/fuzz pedals and my EP Booster are connected to a unit with true bypass switches for each one. I reserve the FX loop for FX that are post-amp. I love the choruses, delayes, reverbes, etc. in the HD500 and HD500X and use them as defaults. However, sometimes I need more variation on the fly. I may need a completely different reverb or delay setting. So I have additional mod, delay, and reverb pedals available in the FX loop. This also saves DSP.
I like the sound and control of the gain/distortion/fuzz pedals and my EP Booster better than the ones in the HD500X. I've even run a noise gate as the first HD500X "effect" and it still sounds great. Set up this way, the FX loop is also quiet - there is no noise.
I'm running out mono direct into FOH.