What sort of HDF file is it (ASTER, MODIS)? If you get map info by opening it through the GUI, you should be able to also get the map info structure when using ENVI_OPEN_DATA_FILE with the appropriate keyword (/MODIS or /ASTER). If you use the generic HDF, it probably won't get this information but it is equivalent to opening the file as External Format->Generic->HDF which doesn't read any map info either. You can 'see' the projection using the View HDF Dataset Attributes tool but to programmatically extract this information, you would need to use the IDL HDF routines.

The file contains Landsat surface reflectance data created by LEDAPS software, so it's a non-standard product. However, LEDAPS also creates an ENVI header file, so I will just open that, pull the "map info" tag out, and append that to the new file's header.