I had the exact same problem, and the solution was exactly what TheHappyFriar and steinar2 said: turn on the "Always suggest RGB output" option in Huffyuv.
It would've been nice if Huffyuv's author could've added Vegas to the codec's internal list of "programs that need RGB so always enable it," but alas, it seems that Huffyuv is no longer being updated (its website is gone). Pity. Not that it needed it, mind you, except perhaps for more never-ending performance optimizing.
You can add it yourself (no sarcasm intended - really). HuffYUV is open source so you can make any modifications you would like provided you have the know-how and compiler (and the compiler is the more important part of the equation in this case).
Oh, I know I can certainly do that. Being a Wintel programmer for a living, and having been at this programming stuff since the days of the Apple I and the TRS-80, means I know my way around a compiler pretty well. :-) Still doesn't mean it wouldn't have been nice to see it "officially" added, but then, that's why the checkbox is there in the first place.