I got the P42 stats from the P42 operating manual. I would think it would be too costly to maintain a set of HEP cars, and if the car went down you'd lose HEP. By having HEP supplied by the locomotive if the HEP system in one unit fails you can just have a different unit supply HEP to the train (usually- there are P42s out there with HEP systems that are broken- but that's another story)
As far as the horsepower hit goes, only one unit can supply HEP to a train at a time, so while one operates with less horsepower available, any other units are free to run at maximum horsepower. Some units have seperate diesel generators to make HEP, so the main engine can make full horsepower for traction (such as the F59 and MP36-3C), and others have an inverter that regulates the HEP frequency (P32AC-DM "dual mode" Genesis and Metra's MP36-3S) so the locomotive is free to run at any rpm, my guess is whatever Amtrak buys to replace the P40s and P42s will have either inverter or diesel genset HEP, but only time will tell.
Just in case you were curious, producing the P42's max output of 800kW of HEP requires 1072 horsepower, as it takes 1 horsepower to make .746kW of HEP.