After further testing. That appears to be the case - the choice is either save to SD or output to HDMI. I have not been able to do both at the same time.
I have been using several R800's and live mixing. It dawned on me that it would be better to record to each disk and then put them on a timeline and mix later. Unless there's a setting I don't know about, it seems that I cannot record when HDMI is be...