Thank you to all trying to help.
Let me clarify;
1) I have a HDR display
2) HDR is turned ON
3) HDR is working ONLY when opening the raw file in LCR, PS.
My issue is exporting.
After exporting the HDR raw, - by selecting HDR P3 or HDR rec709, windows picture viewer or my iPhone won’t show it in HDR.
No matter which format I choose to use export, it won’t show HDR.
While Adobe may be able to open a HEIF, there is no way to export from RAW to HEIF. And this includes NX Studio.
My only work around so far, Saving the NEF to Adobe Lightroom cloud. Retrieving it on the iPhone.
Exporting it (with HDR selected) to the iPhone camera roll.
Selecting the picture in the iPhone photo app, select edit, choose auto adjust, only then the app will map the photo to HDR and it will show HDR within the iPhone photos app.
Windows is still unanswered…