you can use this program to see if the association is come from HSSEX or really from HFE7*HSSEX;

proc glm data=adult;
where HAD1<3;
class HFE7 HSSEX;
model HAD1=HFE7 HSSEX HFE7*HSSEX;
lsmeans HFE7 HSSEX HFE7*HSSEX/pdiff;
run;