I guess the kappa still depends on the energy, but the dependence is just rather weak. To see a connection of the corresponding imaginary bands to real bands you may need to plot the band structure over much larger energy range.
The difference between the HfO2 and WSe2 complex band structures is very likely due to a larger band gap of HfO2 compared to that of WSe2, meaning that the HfO2 imaginary bands (or in other words, evanescent states) are more localized in some way.
I would like to notice that these states are not real physical states in a perfect bulk material such as HfO2. The evanescent states may however couple, for example, to metal electrode states if a HfO2 dielectric spacer is sandwiched between two metal electrodes. To understand this, you may think of a simple 1D barrier problem, when plane-wave states are matched to exponentially-decaying states at the two barrier edges, for a given energy (which is below the top of the barrier indeed).
