True, for example SSR Beelz burn is capped at 1000 damage per turn, 10% of max HP. So if you get over 10k - and you can even outside Union events - then you'll benefit a bit extra from HP.
(and as a sidenote, Regen also scales with your HP - I remember getting Belebog early on and couldn't cap her Regen, huehuehue)
But each of Sloth's DoTs does a mere 3% max HP to you. Even my Zeal hurts me more. I don't know if it's feasible to hit the damage cap on those... anyone put 100 HP in yet?