From checking the documentation, your vocoder should be able to do what you want as you've described. It's very unlikely that your vocoder is faulty, as a software/firmware fault would likely show far worse symptoms than just the sustain not working. It's still worth checking with EHX just in case the MIDI spec is wrong, or the pedal's firmware does not actually function as described in the manual, though that's a bit of a long shot.
Just fishing in the dark here, but I'm wondering a couple of things:
1.
MrSitcom wrote:I tried using other Midi devices, such as Korg MS-20 Mini (not sure should it response to sustain pedal) and Korg Volca Bass (this should response) but got the same reaction, or lack of one.
Do you mean that you plugged these synths into the External section and they (or the Volca at least) did not respond to sustain pedal messages from your Nord?
2.
MrSitcom wrote:B0 40 7F Control Change Hold 1 127 Channel 1
B0 52 00 Control Change Gen. Purpose0 Channel 1
B0 40 00 Control Change Hold 1 0 Channel 1
This seems to suggest that your sustain pedal is transmitting on channel 1 rather than 16.
If both the above are true, then that would suggest the problem lies with the sustain pedal information not being transmitted correctly in the first place. Unfortunately, I have no idea how you could test this unless you have any other synths you could try it with.
Also, have you tried listening to the internal synth in your EHX rather than just the vocoder/effected sound to make absolutely sure the internal synth is not sustaining?
Finally, have you tried sending it any othe MIDI data (other than note data) to see if it responds correctly to that? For example, you could try sending it Program Changes from your External section and see if it does what it should.
These probably aren't the most useful suggestions in the world, but there's at least a possibility that trying them might shed some light on what's going wrong.