I don’t use Hue bulbs, but here is the issue I think you are facing. As you have noted, the Hue bulbs need to be controlled via scenes. You’ve done that and they are working correctly from the dimmer.
The problem is that AFAIK, the Aux switch is not capable of instructing the dimmer to run a scene. This was discussed a little over a year ago. At that point, @eric_inovelli advised that Inovelli was trying to get an alternate firmware version that would support that capability from the Aux. I haven’t seen the issue discussed since.
Tagging @datavortex since he was trying to do essentially the same thing with Hue bulbs.
Eric’s response . . . also read @datavortex’s description the post above: