I'm not certain this is limited to EPIX-2-Pro with HRM-Pro-Plus. I have the slightly older EPIX-2 and my new HRM-Pro-Plus isn't showing up on the watch the same way my HRM-Pro had been. While I'm running the BETA stuff now, the problems pre-date signing on to that great experiment.
If I start an activity on the EPIX-2 with no 'awakened' HRM around, the heart icon blinks. If I start an activity while wearing the HRM-Pro-Plus, the heart icon goes solid grey. The watch no longer reports 'heart rate monitor connected' like it did several months back. Its never been super obvious to me what on the watch during an activity definitively tells me the HRM is connected and supplying values to the watch. Later review of the activity on GC for Web claims the HRM-Pro-Plus was involved for the activity, but I don't know how anyone would know if the displayed HR data was from the strap or from the watch sensor. The HRM-Pro-Plus is identified in the DeviceInfo FIT message(s), but that's all that can be said with certainty. [I wonder what would happen if the watch was put in my pocket during a recorded run activity while wearing the strap?]
I have not noticed 'gaps' in graphed heart rate data while the strap was in-use, but again, there's no way to know if all the HR samples during the activity came from the strap.
But wait, there's more. At the gym, after removing the strap, putting it in the locker and a few minutes later starting a 'Sauna' activity, the watch will occasionally detect the strap [hadn't gone to 'sleep' yet?] and display some bizarre multi-digit numeric value as 'connected'. I've picked through a FIT file where the HRM was reported as active and the crazy number doesn't seem to be the HRM-Pro-Plus' serial number, but it *might* be the time expressed as as a UNIX integer (?). One loose theory would be that the HRM 'connected' message originates in the activity processing - 'Run' activities handle the HRM connection differently than the 'Sauna' activity (?).
Somewhat admittedly, and having spent a lifetime building and diagnosing large systems, I'm now a victim of allowing too many concurrent changes. The HRM-Pro-Plus is new, as is the [BETA] software for the EPIX-2, the software for GCM and GC-web. There's no way to definitively point a finger at the chest strap [radios and sensors], the watch [radios and sensors] or the watch software.
