Unfortunately, this is not the case, though I too have desired such a thing. If you want to use the FX in HALion, you will have to load a slot with the part you want to effect and play it from there. It is really easy too. If you have a guitar part recorded, you can simply crop the part you want effected and drag and drop it to a slot in HALion to play back through the FX at the part in your project you are desiring, then leave it at that and have the recorded guitar part play as the normally recorded audio, just as it was.
This is exactly why Cubase needs a bounce in place function, so you can do the above and then dump it right back as an audio part in your track, without worrying about having it loaded in HALion to playback through there with each pass, or re-record it the long way.