HEx is simply a non-stop service over the same line as Heathrow Connect/TfL Rail/Crossrail/whatever.
The legend next to the dagger at Heathrow is pointless - since T23 and T5 are both in Zone 6, onward connections to T5 would be at no extra charge even if the Freezone didn't exist.
Might as well have a dagger at Finchley Central: "Underground passengers should change at Finchley Central for free rail transfer to Mill Hill East"