Was just checking if you did it right on your end
You are not the only one with this problem:
https://www.pentaxforums.com/forums/172-pentax-k-3/241831-k3-hdr-raw.html
The reason you see the different photos is that the DNG file contains a "preview jpeg" which is different from the actual raw photo data. The preview jpeg is processed automatically, so it looks like a "finished photo", while the raw data is not yet a photo and has to be processed.
I can't help you further than that, I never tried any of this before. Try using other software (especially the one that comes with the camera) or looking for threads/blogs about it
Edit: And I hope someone replies here with a full answer.