As is all too often the case, any answer has to be largely speculative because the query does not contain anywhere near enough information on operating conditions etc.
Nonetheless;
The simplest explanation is that the high molecular weight components are not soluble in hexane, so they never get injected.
It is also possible that the late eluting peaks are column bleed rather than sample components; with a silicone phase an injection of a sample with water in it can release a pulse of siloxanes that appear as peaks rather than baseline drift. Dissolving the sample in hexane will tend to partition out the water, hence less column bleed with your splitless injection.
Depending on the inlet temperature, the high boilers take time to evaporate into the carrier gas, if the split valve is opened too soon the high boilers do not get a chance to evaporate onto the column. It is also possible that they are evaporating so slowly that their peaks are too broad to be detected as such - this will depend on the inlet temperature, the column temperature at injection and whether or not you programme the column temperature. In this scenario the heavy compounds are still entering the MS, you just cannot see them as peaks.
On Agilent GCs run under Chemstation the default splitless time is 0.0 for some reason, and it is easy to forget to change it, resulting in a split injection with all sorts of pressure pulses as the valves open and close.
Depending again on temperatures, and also on the volume that is injected you may be recondensing solvent onto the column, which can generate all sorts of striking peak distortions, although I would be surprised if it would make peaks disappear completely.
You need to check (with a flow meter, not software !) what your split and septum purge flows really are - as the sample or solvent evaporates in the (presumably) hot inlet it generates a pressure pulse that can send gas flows in all sorts of unexpected and undesirable directions.
If you really need to discriminate against high boilers then some kind of backflush system will be far more reliable, unfortunately the commercial systems are absurdly costly.
Peter