In Frenkel exciton dynamics of aggregated molecules, the polaron transformation (PT) technique leads to decoupling of diagonal elements in the subspace of excited electronic states from vibrations. In this article we describe for the first time how PT becomes applicable in the framework of the "Hierarchical Equations of Motion" (HEOM) approach for treatment of open quantum systems. We extend the concept of formulating operators in HEOM space by deriving hierarchical equations of PT which lead to a shift in the excited state potential energy surface to compensate its displacement. While the assumption of thermal equilibration of the vibrational oscillators, introduced by PT, results in a stationary state in a monomer, in a dimer under the same assumption nonequilibrium dynamics appears because of the interplay of the transfer process and vibrational equilibration. Both vertical transitions generating a vibrationally hot state and initially equilibrated vibrational oscillators evolve toward the same stationary asymptotic state associated with polaron formation. The effect of PT on the dynamics of this process depends on initial excitation and basis representation of the electronic system. The developed approach facilitates a generic formulation of quantum master equations involving perturbative treatment of polaron dynamics.