I guess because hex colours are seen as something used in web design, not print design. They are just a different way to specify RGB.
There are countless web pages where you can just type a hex value and see the RGB on screen, such as Hex-to-RGB Color Converter
I don't really want to download some sort of script (which is all that I can find as a recommendation online)
A script or extension is your only option. Kuler lets you pick hex, but the swatches get named with their RGB values, so InTools extension is better: Hexadecimal Swatches in InDesign | in-tools.com
I NEVER find the Adobe Help option ever actually helpful.
Try using Google searching for InDesign + the subject and look for returns starting with helpx.adobe.com:
Here's a link to info and download for the free InTools "Create Hex Swatches" start-up script:
It works for me in InDesign CC (that's the newest I've got).
As Tom suggested, you can get Hex Color values for RGB colors in the latest InDesign CC update (October 2014). Mentioned here:
We have just included the hex color values in our latest InDesign update (10.1.0.71). You can now get the hex values when you create or edit any swatch in RGB color mode. You need to click on the Icon at the bottom of the create/Edit Swatch dialog and keep it pressed and then drag it around the screen to get the colors. Important point to note is that click and keep it pressed and then can get the hex color values.
Let me know if you face any issues.