Good Morning,
I have never used the HDR mode directly, but I have done a lot of "HDR" using bracketing. I recognize the problem here well, as it has plagued me from time to time. Since HDR or bracketing is taking multiple shots with varying exposure values, there is time spent from shot to shot, plus each shot if of a different shutter duration. What happens is movement of the object/scene that you are shooting, which when the multiple shots are blended together - you get a less than stunning result.
I was fortunate enough to be able to shoot the USS Constitution in the Boston Navy Yard (after hours) at both sundown (and after) as well as sun rise (and before). I did the sunset first and learned a very high priced lesson. I wanted the highest quality, and best detail in the shadows - so I shot at a very low ISO (80) from a tripod (If I would have though things through a bit more I would have perhaps recognized my stupidity). What I failed to realize (or actually remember from being in the Navy), is that the tide and wind, bounce the ship around like a cork - even when tied up to the pier.
So, when I processed the shots later that night, my heart sank when I scrolled shot to shot, and it looked like a movie of the ship rising with the tide and moving with the wind. It was even worse when I combined them together. The pier, pilings and background was perfectly sharp. The ship was blurred (just like your clouds), the rigging looked like a set of banjo strings. It was crap. So, when there is the potential of movement, RAISE the ISO - you can always process out the noise to varying extents. By raising the ISO, you capture more light and the exposures are substantially shorter. I was able to take the best single exposure of each bracketed group and just process it as a single frame, so I was able to recover to a degree.
I don't really understand the internals of the HDR mode - but if it tries to minimize the use of buffer memory (which I would think that it would), it would take an image, do a bit of processing, take the next image, do more processing, take the final image and then complete the processing. At least in bracketing, it just takes 2, 3 or 5 successive images in quick succession with no processing in-between (which I used) and I still had problems.
So, the bottom line is you have to understand to a degree of what the camera is going to do, and also the environmental factors (weather, etc.) surrounding the scene, to really make it work for you.
Just a note - it does look like you were at a pretty high ISO level with the grittiness of the images. There are times when HDR/bracketing just does not work out well. The best approach is with single frames that have good exposure characteristics, and then post process them well to pull out the information that you were able to capture.