As images are merged, auto-align and lens profiles are applied. These can subtly change the location of elements in your photo, so all location-dependent edits are not applied. It's simplest to do your merge as the first step in your workflow.
Note that you could use Sync to copy those edits from an original raw file to the HDR file - keeping in mind what I said above about location changes.
Thanks Laura, Yep I realized I could do that (and of course have) ,just was wondering. Thanks