Hello Resourceful,
I think you can do following:
1. in Select Coordinate System window, select NAD83(CSRS) and click edit button (see attached captura0.jpg);
2. in Edit Coordinate System window, find CGVD28 height (ESPG::5713) for Vertical CS and input new name e.g. Nad83(CSRS) + CGVD28 height and click OK (see attached captura1.jpg);
3. accept message saying selected vertical datum is unavailable and click tools (Settings) button (see attached captura2.jpg);
4. in Datum Transformation Settings window, select Add... for Geoid height and navigate to where your HT2_0.tif resides and select it (may be geoids folder of MS installation folder). In Import Geoid window, click OK (see attached captura3.jpg).
Voilá, your Compound Reference System using GCS NAD83(CSRS) with CGVD28 height is created!
Same procedure can be used to create CRS for projected coordinate system, e.g. NAD83(CSRS) / UTM14N + CGVD28 height....