1) Open any HDRP project
2) Add box volume (notice green gizmo is visible)
3) Add new empty gameobject
4) Make the Box Volume the child of the Empty gameboject
5) Select the child (notice no gizmo is visible)

Expected:
No matter if Volume is a child or not, the gizmo is visible

Result:
Gizmo is invisible when Volume is a child of the empty gameobject

UPDATE:
Actually, I just checked Its the same with Reflection probes. So can be a global gizmo issue. Very annoying one though. Attaching another video with reflection probe. Does not happen on Builtin render pipeline.