There are many things going on here. So let me spell out a few key things to understand first.
- Premiere requires transmit hardware from AJA or BMD to properly monitor HDR content. PPro cannot drive your HDR desktop monitor yet. When working in HDR, you cannot trust your program and source monitors - they will look wrong.
- Only ProRes MOV and XAVC Intra MXF are fully color-managed at this time.
- Interpret footage is only available for color-managed codecs
- Adding color-managed files to a sequence will automatically convert between colorspaces.
Unfortuanately, mixing colorspaces like you are with non-color-managed codecs is going to be difficult. I recomend transcodoing everything to ProRes HQ. Then use interpret footage to override the colorspace of the HDR clips to the correct HDR color space (probably Rec2100 PQ - is this HDR10 footage?). Leave the SDR clips alone, Rec709 is correct. Create a sequence from one of the HDR clips. This will set up the colorspace of the new sequence correctly. Then edit everything into your sequence like normal. The SDR clips will automatically be colormanged to the HDR colorspace of the sequence. They will never be as bright as the HDR clips, but that is to be expected.
Hope this helps a bit. HDR is a confusing area and our HDR support is improving with each release.