With an image like that it is a tough call whether to use a filter which will partly cover the house if kept horizontal, only cover part of the sky if used on an angle, or take two exposures to blend in post. Even with a brighter exposure those shadows would be wanting to be brightened up to suit most people's tastes I expect unless you were willing to blow out the highlights in the sky which would lose a lot of the drama there from a dark'n'stormy day.
At the end of the day it would probably be the most flexible to choose to blend two images. Far easier to get the exposures where you want them for each part this way. Provided of course that you have the software to do so and a desire to work this way.
One other menu item that can affect exposures is highlight tone priority. It can shift exposure values to protect the highlights in most of the operating modes. May be worth checking to see if it is on in your camera as it would cause a similar result to what you experienced.