I think when in app mode, like running waze or something, when you adjust the volume, you will see tabs and an app volume control on the right. This allows you to select the audio source. So you can do HD radio while running an app.
It's odd though that you also seem to have to turn the app volume all the way down because it doesn't seem to switch the app volume off like it does the HD radio. For example, if you're running iHeartradio app, you have to turn the app volume down, which appears on the right as a volume up/down push button, then select the HD radio tab for example to select