Can you give more information? What character level are you doing this on? How are you checking that your Health isn't going up? What Undaunted level are you? Is this only at Undaunted Mettle 2/2, or also 1/2?
It seems to be working for me. I have 1 Heavy piece, 1 Medium piece, and 1 Light piece. I have +6% listed in the tool tip and removing/adding points from the passive shows my Health go up and down.
Also keep in mind that losing one heavy for a medium or light can be a net change of zero health if that piece of medium or light gives you (via Undaunted Mettle) the same 2% hp you lose from dropping that one piece of heavy (from Juggernaut).
I’m almost 2000 CP. undaunted line is leveled up. I’ve even switched it out with the same set, all heavy. No change in health, but Magicka and Stamina increase. It’s a bug.
Also keep in mind that losing one heavy for a medium or light can be a net change of zero health if that piece of medium or light gives you (via Undaunted Mettle) the same 2% hp you lose from dropping that one piece of heavy (from Juggernaut).