I use NexRemote with SGP all the time (although with a CGE Pro, not AVX). In fact, I can't recall ever using SGP without using NexRemote. It should work just fine. As mentioned above, you need to connect NexRemote first, then set up a Virtual Comm port when you connect NexRemote and then set the Celestron ASCOM driver to point to the com port selected when the Virtual Comm port was set up.
Tim