Differences in color when in HDR mode

Hello,

I just bought a new screen and it is capable of HDR. When turned on, the same images look different on my screen, and not just that, also when exported. The only thing I change is that I enable HDR mode in Windows settings. You can see everything in the images I attached (overexposed is with HDR enabled). What causes that problem?

The images seem to be correct when not in HDR mode because that is how they appear on my iPhone. Now my iPhone (12) also supports HDR. How is that possible?

Thanks, Daniel