After Scion of the Ur-Dragon becomes a copy of Palladia-Mors, the Ruiner, Scion of the Ur-Dragon will have hexproof provided Scion of the Ur-Dragon hasn't dealt damage yet. Thus, if Scion of the Ur-Dragon has dealt damage (whether before or after it became a copy of Palladia-Mors), it won't have hexproof due to the abilities it acquired this way from Palladia-Mors (C.R. 611.3a). (Note that "Palladia-Mors, the Ruiner" on Palladia-Mors's last ability means the object that has that ability, not any other with the same name [C.R. 201.4, especially C.R. 201.4a].)
EDIT (Mar. 21, 2019): Correctness edit.