HQs get shot, because they're big. INF HQs will die to pretty much any hit, and since only the HQ embedded in the formation gives 100% bonus (with higher level ones giving . 25^n bonus, n being the number of levels above the formation in question), you really, REALLY want to keep your HQs alive.
Thus, heavily armored, avoid combat HQs are the way I go.
This also seems to encourage avoiding tiny formations. A tiny formation without an HQ is only getting ~31-33% HQ bonuses (25% from the HQ one level up, 6. 25% from the one above that, 1. 5% from the one above that). whereas a formation with an intact HQ is getting 133% bonus.
My initial TN starts have 1k formation as the smallest unit, but I soon transition to 5k formations as my smallest unit by the time I'm considering prepping to invade someone. That makes a single heavy or superheavy HQ tank in the formation not all that painful, even in infantry formations.