Should Vibration Feeback work on the softscreen on HTC Desire HD phone
As long as the phone has a vibrator (and you mention it does), then it should work, unless HTC modified their flavour of the Android software. 

Go to 'settings'-> 'Language &amp; keyboard' -> your keyboard (often 'Android keyboard' or 'Touch input') -> enable 'Vibrate when typing' (in case of 'Touch input' this is in a 'Text input' submenu).

The real 'vibrate' (on call)  function as you know it from your old feature phone is at 'settings' -> 'Sound' -> 'Vibrate'.