Its weird that the default file format for Merge to HDR seems to be 32 bit psd, but you have to export as 32Tiff if you'd like to tone in ACR or LR. Psd doesn't seem to be supported.
However, Psds opened as 32 bits in photoshop can still be toned with the ACR filter.
The Lightroom default for exported file types is controlled by you in the Lightroom preferences. I have my default set to export TIF images. I believe the TIF format is more universal. I haven't encountered any problems using the TIF files back and forth between Lightroom and Photoshop.