Biggest issue is hexdrinker is worse than phantom dancer. So while hex is better than phantom dancer for surviving magic dmg specifically (if you factor in the MR), PD saves you in more cases. And has a bigger shield.
I find myself never wanting to buy hex unless I absolutely have to. PD is just so much better most of the time
PD also contributes to your scalings in such a way that it's honestly never a bad idea to consider building it if you're a crit ADC. The only "con" of PD is that you don't get the shield 'til it's complete, which is a significant gold investment and usually built 3rd.