After months of calls to Microsoft, disabling, Remove-HybridConfiguration, rerunning, getting sidetracked, coming back to it, everything seems to work except we still get this HCW error message, researching more online, etc. etc. etc. (we all know how it goes), I finally have the answer to my problem: Ignore it, it's not a problem, it's a bug.
"If you switched from Modern hybrid to Classic hybrid (as this would https://docs.microsoft.com/en-us/exchange/hybrid-deployment/hybrid-agent#uninstall-the-hybrid-agent). If that is the case – you proceeded with Classic hybrid topology and this successfully uninstalled the Hybrid Agent, then you can ignore this warning thrown by HCW related to the migration endpoint for <GUID>.resource.mailboxmigration.his.msappproxy.net and you should create the migration endpoint in EAC using Autodiscover or your published EWS URL. At the moment of the writing of this blog post, if you switch from Modern to Classic successfully – HCW still tries to create the migration endpoint going to the Hybrid Agent proxy instead of using your published EWS URL."
Thanks @Mirela, I will sleep better tonight : )