will the thermal mass outweigh the lack of conductivity?
i wouldnt think so. when you are talking about an in-HLT coil, you have such a thermal mass that changing temperature of it requires a LOT of energy to do so in a reasonable amount of time. adding more insulation by using PEX over copper would even further increase the reactivity time and lessen your control (meaning- the amount of time between setting your HLT at a higher temp, and seeing that temp change in your mash tun). i wouldnt be suprised if there were a several-fold increase in the delay, over copper.
i guess you could counter that by using a much longer coil in the HLT, but then you are going to be taking up a good amount of its volume.