I'm not sure how the new rule works but consider this:
First, something like half of all U-boats sunk were destroyed by planes. There is no provision in HOI for using aircraft to escort convoys, but in fact they were given direct protection by long-range air and even blimps. So some level of self-protection is reasonable to represent air escorts.
Second, HOI only shows destroyers, and only gives you escort points for destroyers. In reality, the UK had literally hundreds of additional ASW-capable ships smaller than a destroyer -- minesweepers, subchasers, trawlers, motor launches. These did in fact escort convoys. Ignoring sinkings by corvettes, of which there were dozens, here are some small-ship successes:
Sloop Fowey sank U-55, Jan 1940.
Minesweeper Gleaner sank U-33, Feb 1940.
Sloop Weston sank U-13, May 1940.
merchant ship Mijdrecht rammed and damaged U-70, Mar 1941
Trawler Visenda sank U-351, Mar 1941
Trawler Lady Shirley sank U-111, Oct 1941
Sloop Rochester sank U-204, Oct 1941.
Coast Guard cutter Icarus sank U-352, May 1942.
Coast Guard cutter Thetis sank U-157, Jun 1942.
Sloop Rochester sank U-135, Jul 1943.
PC624 sank U-375, Jul 1943
Trawler Imperialist heavily damaged U-732, Oct 1943.
Soviet subchaser MO-124 sank U-679, Jan 1945.
Damage to U-boats from these small patrol craft is harder to track statistically, but clearly there must have been quite a lot of it.
Also, merchant ships were not entirely unarmed. They had no depth charges or ASDIC, but they did have impressive surface armament added, typically 4-6 guns of at least 4" caliber. At the start of the war, U-boats sank a number of merchant ships using guns, to save their torpedoes for later. When the U-boats started being damaged in duels with armed merchants, they gave that up.
And finally, consider the fate of U-132, sunk when she hit the ammunition ship Hatimura and was caught in the resulting explosion, Nov 1942. Or U-377, sunk by her own malfunctioning acoustic torpedo, Jan 1944.
Again, I'm not sure exactly what level of damage the rule inflicts, it might be too much, but I am not unhappy that "unescorted" convoys get some level of self-protection and U-boats get some damage for going in.