First make sure its possible to use that kind of stat in the pokeroom you are playing. "Expressions using definitions that "filter by hole cards and/or board cards" will not work on live PokerStars and Full Tilt poker tables". Notecaddy will automaticaly disable all badges/stats that are not allowed in the pokerrooms. Using the replayer with all the pokerrooms clients closed is the way to do troubleshooting. Unless of course it only happens in live play.
Any time that icon pops up we can try to understand it a bit better by hovering on it and checking what the issue is, like you did. But mostly that says that HM is not being able to reach/get the stat from Notecaddy.
Creating expressions didnīt change, those are done in Notecaddy when creating a definition. Iīm not sure I understand your doubt here. Please provide a screenshot showing the issue so i can try to test it out.
Finally, I would suggest having a look at the definitions on the NCE packages, either cash/mtt, and find out if the definition you are trying to create isnīt there already. This saves you time and makes sure you are using a HM3/NC definition instead of a HM2/NC definition that might get corrupted while importing. Install one of those packages and just import the definitions you want to your HUD.