I also believe that this is a case of Hoid failing. However, I also think maybe it's not a purely bad thing. Hoid has Fortune, and he always is where he needs to be. Maybe the purpose of him talking to Odium was actually so he could be tricked (and genuinely tricked), but in so doing being able to figure out that he has been tricked, and being able to infer that something is off without TOdium finding out. We already see him noticing that his breaths have been tampered with, and although he doesn't seem to make the connection right away, it seems inevitable that he will quite soon figure out that something is wrong with specifically his breaths in which he stores his memory.
This encounter might have been a master plan 5d chess move, but in that case I don't think Hoid knew it at the time. The "true terror" line makes it hard to believe Hoid is in control of the situation.