The hyperfine splitting of holmium, as a dilute (1%) substituent in ferromagnetic GdAl₂ has been studied by spin-echo NMR at liquid helium temperatures. The measurements were made on oriented single crystals, with fields up to 8 T applied along twofold, threefold and fourfold crystallographic symmetry axes. The field dependence of the hyperfine splitting is interpreted in terms of the standard three-parameter mean-field model for lanthanide ions at sites of cubic symmetry. The crystal-field coefficients are found to be 30% to 40% smaller than those for pure HoAl₂; moreover, the molecular field seen by the holmium ion is more than 20% below the lower bound derived from a current model of exchange in RAl₂ compounds. These unexpected results are strikingly confirmed by a recent analysis of FMR data on a dilute Ho:GdAl₂ alloy. Possible explanations are considered.