Colour Picker InDesign CC 2018

Does it have anything to do with RGB and CMYK?

Yes.

Hex is just another way of notating RGB color. When you insert a hex value in the Color Picker’s # field you have chosen an RGB color, so as Frederico explains, make sure the swatch you add is RGB. If you add a CMYK swatch and reopen the color picker with that swatch selected, there will be a conversion from document CMYK to document RGB, which will result in a different hex value.

My advice is not to use the Color Picker for using and adding colors to a document in InDesign,

create them straight from the Swatches panel (>New Color swatch) it is a bit clearer the color mode you select, and those swatches become named, placed inside that panel, thus you do not need to add them later to the panel from where you can use them repeatedly.

The color gamut or range of represented or printed colors and inks, is different or more limited if you work on RGB, and even more on CMYK, in comparison to a full range color space like Lab.

In the Color Picker  you can use any color space to pick up a color/ink, or enter an hex code,

BUT  pay attention that if you have or click the cursor inside any RGB number window, the color is added as RGB, and if you click or have selected CMYK, or Lab, it will be added in any of those modes. 

Please see attached capture and highlight areas.

When you enter an hex code, an equivalent set of numbers appear on the panel, the color you see displayed there is the one matching or closest in the Color Mode used now, Lab, RG or CMYK, but when you save it, I do believe those numbers are kept but the color in that color space, eg. CMYK, maybe less saturated than the one showed on the Color Picker using the Lab or RGB mode.