According to dfHSM Impl/Cust guide Chapter 16, this is possible (z/OS 2.2). I 
did not check to see when this capability was added. It may not be possible at 
you level of z/OS.
Have you checked the log(s) for S913 or other messages besides the ARC1245I 
message?

<Begin Quote>
Accessing data without allocation or OPEN (non-SMS)

If DFSMShsm migrates a data set, subsequent access to the data set while it is
migrated must cause allocation to do a catalog LOCATE or OPEN must be issued
to cause the data set to be automatically recalled. For example, if the volser 
and
unit are specified on a SYSPROC DD statement in a TSO logon procedure, a
problem exists if that data set is migrated. The problem exists because no 
catalog
LOCATE is done by allocation and no OPEN is performed in TSO unless the
volume specified is an SMS-managed volume.

DFSMShsm does not migrate data sets having SYS1 as the first qualifier unless a
SETMIG LEVEL request has been issued to remove this restriction. For other data
sets used in the above manner, the system programmer must either not specify the
volser and unit (which causes a catalog LOCATE by allocation), or specify the
names of the data sets on SETMIG commands placed in the DFSMShsm startup
member to prevent them from migrating.
<End Quote>

HTH.

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