That's really odd. I tested and you're 100% correct. I know HDR will always output to a JPG, so I had RAW/JPG set as my output. However when using HDR in SCN mode I can have RAW/JPG selected and it works fine, however for the other modes I need to turn off all RAW first, it won't even work with RAW/JPG so I need to remember to switch back after each HDR shot?

That's a really weird way of doing things.