I also feed Hikari Betta Bio-Gold to my two Bettas and I think they are great.
It does sound strange that he'll eat the hard part but not the soft. Generally speaking it is advisable to pre-soak any pellet in order to soften it slightly, make it easier to eat and digest and to prevent swimbladder/constipation problems.
Personally, and this is only personally so no-one jump on me please, I don't pre-soak this brand before I feed them because they seem to soften very quickly already in my opinion.
What I do is to feed them one at a time and place it well away from the Betta on the other side of the tank, it may just be my Bettas, but they always take a minute or so to find it as they are too busy patrolling and flaring at me and by that time it has softened even more.
I did try pre-soaking the pellets once, but I personally found them to get way too soft too quickly and like you say, they seem to prefer them slightly harder. I've found the way I do it, works for me and my Bettas at the moment, but it won't necessarily work for any other Bettas I get.
It won't necesarily work for every Betta out their either as they are all so different in terms of personality and like all fish some are more prone to swimbladder and constipation problems than others.
So, yes as general rule pre-soak, but if they won't eat that way then you could try putting them directly into the tank using the method I do and place it well away from the Betta - make them work a little for it.
If you don't pre-soak, you do need to be extra vigilant about health problems, but like I said it all depends on the Betta. I know some people on here have lost Bettas before because of these health problems that they directly attribute to not pre-soaking. So it really is up to you and I wouldn't say do or don't.
On the other hand your Betta is quite new isn't he? So maybe just carry on pre-soaking and persevere with it and he may well fully accept it in the end. Bettas can be very finicky when it comes to a new food and eating habits. So they will probably just adjust to what you are doing.
You could of course, if you wish, try another brand of betta pellets or flakes altogether
As for freeze dried Bloodworms these are an excellent nutrious dietry supplement, but they should really be given a few times a week as an extra/ treat and not as their sole staple diet. Pellets or flakes (if they'll have them as some won't touch) are more nutritionally balanced.
These are just my views, hope this helps a bit