Oh that's interesting. Not permitted during physics callbacks? Curious. Thing is... that's draw calls getting destroyed (ie: generated UI geometry), and have nothing to do with physics.
Unfortunately that particular piece of code has to stay at 'immediate' or the UI won't be hidden properly when exiting play mode, or something else along those lines (I had a lot of headaches trying to make it work properly back in December).
My suggestion... delay the destruction of your HP bar:
UpdateManager.AddDestroy(uiGameObject, 0.001f);
...or delay the turning it off:
UpdateManager.AddUpdate(...);