Seems like for SKD version > 3.2 (maybe more, just tried the 3.2 and 4.1) the "python" repository in "C:\Program Files\HOLOEYE Photonics\SLM Display SDK (Python) v4.1" doesn't exist anymore.
Thus, the holoeye plugin doesn't add the right PATH and can't import the "holoeye" file.
In the SDK version 3.2 we have : "C:\Program Files\HOLOEYE Photonics\SLM Display SDK (Python) v3.2.0\python\holoeye"