Stop...listen to what is being said to you... please. I'm not disagreeing with you or misunderstanding your circumstance. In fact I experience a similar issue and have provide a detailed report to demonstrate it. The details we have both provided will help HootanPArsa give us an answer about whether or not we should see the directly attached device that is visible in Files in MiXplorer as well.
Apart from the question above about whether or not we should see the directly attached device in MiXplorer, you also seem to be having an issue with USB OTG drives. For this you should try logging an attempt to attach and view such an SD drive with MiX. Instructions for logging are here: https://forum.xda-developers.com/sho...7&postcount=7.
Wait for HP if you like but, it would be more helpful if you provided full details about one or a few of the devices. Logs go a long way here as well. The type of details needed are described in that logging FAQ post.
You may be right that the direect cable stuff is just an unavoidable limitation but HP said it should work so let's see what HP says. The fact that MiX offers the prompt at all may be a good sign... or may just mean the prompt is appearing when it should not.
That all being said, your problems accessing external SD cards in MiX via USB OTG might be worth digging into (which means logging and sharing device details).