Shows yet another mid combo, independent HD activation with Kyo. I suppose the advantage of doing so is that you conserve more meter and allow slightly longer juggles? Interesting...so far only Iori, Kyo and K' have this type of luxury AFAIK. EDIT: I suppose Athena probably could do the same as well.
I REALLY don't think it worth it in terms of damages, especially with kyo, k' and Iori who they have such great command move, it will be often, if not always, better to do normal, hd, normal command move combo hd.
Because the hd cancel allows you to add lots of damage by this way and it didn't consume any special hd gauge, just the time to do it, and it is very short in fact.