I think you may not be hearing what you think you are hearing at the moment. The way you have the connections you are getting the following process:
Your guitar is going into the Headrush.
It is being processed by any effects you have set to "acting on input signal pre the Fx loop", not sure how you would describe that but I'm sure you know what I mean.
That signal is then being passed to the amp's Fx Return.
It goes straight on to the amp's internal effects, master volume, power amp and speakers.
If the Headrush cuts the signal through the unit when a plug is put into the "Mono Out To Amp Return" socket then the Headrush Fx Loop is responding only to the signal it is getting from the amp's Fx Send and that is nothing so far.
The Headrush Fx Loop then processes that signal and passes it back to the amp's Input.
It passes through the amp's preamp until the Fx Loop Send and gets routed back to the Headrush Fx Loop Return again.
It goes no further in the GMD40 because when a plug is placed into the GMD40 Fx Return (which you have) it cuts out the signal from the preamp so there is no way to get that signal through to the power amp and speakers.
Here is a little more info...
H&K GMD40 User Manual wrote:Heads Up: You can bypass GrandMeister Deluxe 40’s preamp by routing amp models into the FX Return. However, when you switch channels its power amp is re-voiced to deliver the best tone for that channel. This means every channel sounds different, even if you decide to use only the power amp!
Note: "Only the power amp."
It really looks like you have shortened your processing chain to only the Headrush Pre-Fx Loop Effects and direct into the GMD40 after any of the preamp circuitry. The whole of the GMD40 preamp circuitry and the Headrush effects set to act in the Fx Loop shouldn't be doing anything as they have been isolated by the amp's Fx Return socket switching. I could easily be wrong on this as the Headrush may be doing something unusual but that is what the wiring diagram you posted seems to show. The sound you are getting may very well be exactly what you want but it would be best to be sure it is being generated by what you think for your future work.
And please note here, I'm not arguing to be right, only trying to figure it out to make sure you are getting what you think you are.
Can someone else please check the logic of what I am saying here against Keetonian's diagram in Post#5 please?