We had a Ongame problem with 1.11.04 but this should be fixed with the 1.11.05 Betas. So are you really sure you are using the latest beta (please check the title of HM)?
The ongame client locks the file while open. The auto-import moves the files to the archive folder 15 mins after the last access. So you need to let the auto-import run at least 15 mins after closing ongame or you need to start the auto-import before you open the ongame client.
If that doesn't help please check this and answer
and post the questions
FAQ - Hold'em Manager Poker Tracking Software :: My HUD Doesn't Work