Hello Vaz, excellent questions. Don’t worry we all start learning at some point. No you don’t not need to HR mode just because you have HR monitor connected. Just use ERG. In ERG generally people don’t shift gears, they just find a comfortable one frequently some where in the middle range, some times too high or too low will not work correctly in hitting target watts. That said you can switch gears but since it will automatically change the resistance to match the gears it does not have much of an effect. If you want to switch gears and manually try to hit the targets with the right gear and cadence just turn off ERG mode.
There are some good videos on youtube “ERG mode explained.” If you have any more questions don’t hesitate to ask.