Which firmware should I use for a DH+ PLC to an EtherNet/IP HMI

If you intend to use an AN-X2-AB-DHRIO to connect anything, including an HMI, on EtherNet/IP to something on Data Highway Plus, you will be using the DHP firmware. The HMI firmware is for use only with connecting HMIs like panel views to Remote I/O PLC and will not work in DH+ applications. If you will will be talking to a SLC5/04 with DH+ via an Ethernet Panel View, please refer to the tech note for this specific application as there are some restrictions specific to it:
SLC5/04 to PV+ Tech Note