HMOs are not excluded from the Energy Efficiency (Private Rented Property) (England and Wales) Regulations 2015. The Regulations apply to all privately rented properties that are legally required to have an EPC, and where rooms are let on one of the qualifying types of tenancy (most likely assured tenancies). An HMO will be in scope where it meets these criteria.
However, individual rooms within HMOs are not required to have their own EPC, so a property which is an HMO will only have an EPC if one is required for the property as a whole (typically this will be if the property has been build, sold or rented as a single unit at any time in the past 10 years). If an HMO is legally required to have an EPC, and if it is let on one of the qualifying tenancy types, then it will be required to comply with the minimum level of energy efficiency.
NB: Many HMOs are run on a commercial basis and as such are business premises. Where this is the case they would normally require a non-domestic EPC like a hotel, hostel, care home or student accommodation block rather than a domestic EPC.