I am disappointed not to see any replies to this post. I am having the same problem in CS6. I load my Canon RAW files from Lightroom 4 into HDR Pro, adjust things in the preview window in 16 bit mode and then return to Photoshop. The picture returned to photo shop is very different from what I thought I had. What is happening here?
After writing my comment here, I found something elsewhere on the forum that suggested that the problem was that color profile of the input files and the workspace in Photoshop are different. I found that to be true in my case. The RAW files in Lightroom 4 are probably being converted to TIFFs as they are sent to Merge to HDR Pro. In any case, they are being sent with the same color profile they had in Lightroom, which in my case is is ProPhoto RGB. When HDR Pro sends its results to Photoshop, it converts the output to the same color space that Photoshop is set to. I have Photoshop set to sRGB, because that is what most monitors and printers use, and I do my final work in Photoshop. As a result, I was seeing something quite different in Photoshop than what I say in HDR Pro. I found two ways to deal with this. First, set the color profile in Photoshop to be the same as the input files, or Lightroom if that is where they come from. The second method is to bring the files into Photoshop as TIFFs and convert them to the working color space that Photoshop uses and then from the File menu choose Automate and from the menu that pops up, choose Merge to HDR Pro. I have had good results using both methods.
the problem was that color profile of the input files and the workspace in Photoshop are different.
yes, that will do it in Ps (and any other app that doesn't use or assume the correct profile)
in Photoshop, tho, the source space does not have to be the same as its work space
the problem occurs in Photoshop when users don't understand their Color Management Policies and turn off its settings that Preserve profiles and warn of profile mismatches
in other words, in Photoshop, users need to first "Use the (correct) embedded profile" for the source image to display properly...