I'm not sure you can run a .3dsx file from A9LH. It would be great if you could, but I think payloads can only be binaries. If there was a binary version of HBL that would be great, but I think HBL needs to use the full 3DS hardware to run, not just ARM9 portion of it?? That's just an "ignorant" guess though, as all binaries I've seen run in a text mode with limited GUI, HBL has a decent GUI - taking advantage of other 3DS hardware.
The HBL requires the 3DS OS to be running, yes. That's why there's not already a way to run it directly from A9LH. When A9LH runs, you're running code on the bare metal with no fancy services to help you out. If FIRM (or I guess more correctly the NS module) can be patched to load something other than the home menu on boot, then one could probably boot directly into the HBL. That's just a theory though.