The LR HDR gives you no real control.
No control? You have all the LR tone, color and filter functions that you would have for any Raw file but since you are working on a 32 bit Raw
(in a DNG wrapper) the range of the tonal controls is greatly expanded - the Exposure slider goes from -10 to +10 and the range of other tonal adjustments is similarly extended, although the UI remains the same.
With photoshop, you create a .tif (there are a few choices here) out of the RAW images out of LR. When you select save as, it uploads the .tif back into LR. When you do it in PS, you get stuff like Radius, Strength, gamma, detail, exposure, shadows, highlights, saturation. With a slider for each one. You can go from the most natural looking photo to the ridiculously fake. I like having the control of the end result.
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That is exactly the point. By sending your three (or however many) images to PS you are creating 3 tifs (PS can handle only tif, psd, or other rendered RGB images) which are then merged to one tif. Rendering a Raw file to an RGB tif image destroys most of the flexibility and range inherent in the Raw data; first a camera profile is applied - and can't be changed later, after the rendering is done - then white balance is applied, then a gamma correction curve (so the data is no longer linear) plus the "under the hood" curves that LR/ACR applies in versions 4, 5 and 6 (P.V. 2012). All this processing is baked in and can be only tweaked later in the tif. By doing the HDR merge in LR 6 from Raw files the linearity is maintained and you get a DNG for which profiles (camera and lens), WB, Highlight and Shadow detail extraction, HSL and all the other tools are fully functional.
Would you really prefer editing a tif to a Raw?
After you have finished in LR you can send a 16 bit tif rendering of the 32 bit DNG to PS or any other pixel editor (Nik plugins, for instance), if you so wish.