I own a HD500 and when I found your post i wanted to try to reproduce the same problem to see what would happen.
Setted amps as you said and then inserted stomps, I didn't care about order, and had the same "DSP LIMIT REACHED" message while adding the Volume pedal so, apparently, my HD500 has a little bit less CPU power then the new HD500X, this means I will probably not buy the new one and keep my old one. B)