Lightroom Affecting Color / Exposure of RAW Images

You already got the correct answer. You are using in camera settings that are by default not used by Lightroom. There are two ways to fix this. One is to not use HDR-like styles in camera and shoot more directly using the most plain vanilla in-camera preset and expose correcty as already identified. Second way is to set up Lightroom to try and approximate the effect of the in-camera settings. See here for how to do that: https://community.adobe.com/t5/lightroom-classic-discussions/lightroom-classic-set-defaults-for-raw-file-import/td-p/10925693 For already imported files, try applying the "camera settings" preset (in the defaults section of the presets panel). For many cameras (don't know if this is true for this one but likely is), this will read the in-camera settings from the raw file and try to mimic those in Lighroom's raw converter. It won't be perfect but usually pretty close. If you like the in-camera styles this is usualy the simplest solution. At least it helps the default rendering be close to the in-camera jpeg rendering as a starting point if you like that.

The histogram in your screenshot confirms that the image is badly underexposed.

You are most likely using a picture style (or whatever Sony calls it) that lifts the shadows, leading you to believe that the image is correctly exposed when you look at the camera's rear screen.

Underexposing always leads to noise when you brighten the shadows, and you get more noise at higher ISO settings. (3200 in your case)

I suggest that you turn off any picture style in the camera (if you have to pick one, choose Neutral or similar), and let Lightroom create its own previews on import, which means choosing any setting but "Embedded and sidecar" under File handling > Build previews in the import dialog.

The camera LCD images are JPEGs processed from raw data using the camera's proprietary processing. 

LR/ACR previews produce their own unique proprietary processing for previews which often differ. To be expected. 

Nothing on the LCD or in LR tells you about actual exposure; you need a raw Histogram to do that. That is where a product like RawDigger comes into play. 

The imported images from raw into LR are affected by the defaults or user presets applied and they affect brightness not exposure. As well as color, saturation etc. Just altering a camera profile alone can impact what you see. 

If you import into LR, you may see the camera-generated JPEG that is embedded in the raw for a second or so (depending on your import settings for previews) but LR/ACR must create their own, proprietary previews thereafter, based on the settings you have asked for. Ignore this temporary preview, it isn't pertinent to how this raw processor creates its previews.

See: 

https://laurashoe.com/2020/02/11/whats-new-in-lightroom-classic-9-2-raw-defaults/

Video: https://youtu.be/XGCnR9qEqA4