It should. VEGAS Effects, which is based on hitfilm, has tighter integration, though it does lack a few features of the standalone hitfilm, like mocha.
First the bad news - 'Edit in HitFilm' does not appear in the context menu on right clicking on a video event in Vegas Pro 19 Edit.
Now for the good news - copying 'HitFilm.fio2007-config.' from C:\Program Files\VEGAS\VEGAS Pro 18.0 and pasting it in to VEGAS Pro 19.0 enables the same HitFilm Pro integration in VP19 as in VP18.
I'm using HitFilm Pro 2021.1
I recall that the same workaround had to be manually done at the time of release of VP18 until a later VP18 update auto installed the config file.