Which version of HD SC Setup did you use? Sounds like the SCSI driver that the Plus needs to boot isn't being copied to the disk during setup.
You might try the early version that comes with System 6. (patched of course) I forget the version number.
Also, some early Plus's have buggy ROMS regarding SCSI. (Although this is probably not the problem.)
Also the System folder on the HD needs to be "blessed".