Lightroom Classic does not merge PEF raw files to HDR

Currrently Lightroom Classic doesn't support in-camera HDR RAW files from Pentax K1 / K1 II. 

I assume this is a Pentax camera, what one?

Bring up: https://helpx.adobe.com/camera-raw/kb/camera-raw-plug-supported-cameras.html#Panasonic

select Pentax, and look at the notes:

Note:

• * Dynamic Pixel Shift Resolution is not currently supported. When you open images that are captured in this mode, only the first raw image frame is displayed.
• † The following limitations are specific to camera support for the Pentax K-3 II:
  • Pixel shift Resolution (PSR) mode was added in this release. Use a tripod and a two-second timer to minimize motion artifacts when in PSR mode.
  • Images created with the in-camera HDR mode are not supported in ACR and Lightroom. To shoot multi-capture HDR in raw mode, shoot separate files and merge to HDR using the ACR/Lightroom Merge feature. See HDR photo merge to learn more about merging files in Lightroom.

What is your question?