There's no HDR in Lightroom. Do you mean:
- launching from Lightroom to HDR Pro in Photoshop
- selecting the 32-bit option in Photoshop and saving
- processing the image in Lightroom, which remains in 32-bit
If that's what you mean, it works well, probably usually better than 16-bit processing in HDR Pro in Photoshop. I still mainly use SNS but there have been occasions when 32-bit processing from Lightroom has worked better.
As compared to in camera, I have that capacity but have never used it. If it doesn't work entirely well, you probably only find out when you get back to your computer. It won't have any capacity to let you choose which image to prefer when something is moving and I prefer to have the kind of control that SNS gives me. Your choices may be different of course.