When I merge 3 images in the new Merge to HDR feature, and I execute the merge, the resulting image goes to the directory path where the original images are stored, but is not re-imported to LR. Further, when I try to use Import to get the newly created image, it doesn't see any new images, although the -HDR file is there and shows as an existing file to the import function. So, I can't get LR to recognize any HDR images it has created itself. I believe this worked under 2015.5. Help, please.
You probably have Sort set to Added order, in which case the HDR file will be the last file in Library.
Change the sort order to File name in the toolbar at the bottom of the screen, and it should appear next to the source files.
If you can't see the toolbar, press T.