Just posting here to second this frustration in the hopes that someone from Samsung will take the community seriously. It doesn't make any sense to me that the HR data isn't recorded during a workout started from the phone. This is arguably one of the most important data points during a workout and it can't possibly be that hard to get working on Samsung's side.
I'm going to try to get around this (partially) by starting 2 workouts; one from my watch and one from my phone, and I'll delete the one on my phone after the workout. I won't be able to safely see my heartrate using the dashboard during the workout but at least I'll have a record of it afterwards. This will also be a drag on battery life for both my watch and phone instead of just one. I'll be checking to see it my wife's Iphone and apple watch can do this and maybe this will be another check on returning to apple. Get it together Samsung.
Also hoping that anybody else in the community that has this frustration will post here to word support for the feature request.