If you can reproduce it on native Windows 11 as well, that pretty much rules Wine out.
Since it’s happening with both a HeartGold and Black save, this sounds more like a regression in the current PKHeX build than something save-specific. It might be useful to test the same saves with the previous release and see if SetUpdateDex works there.
If the older build updates the dex normally, that would make for a pretty clean bug report with an easy before/after comparison.