Lightroom Classic - HDR Merge not Working

/Edit/ Solution moved to top of reply:

/Followup/ In LrC  when you select the images in the bracket, be careful to not accidentally select a JPEG along with the RAW. That will cause issues such as poorly explained errors.

I used teh HDR Mode on the camera settings

I would have to look that up against the manual for your particular camera. But that setting may result in a JPEG image . Now I see that your RAW files are CR3, so a Canon camera, but what one?

Some cameras, might take multiple images, use the processor to create the merge, save as a JPEG, and delete the RAW. Some cameras will ignore taking the RAW data, and just create multiple JPEG and then use the processor to merge and create the HDR. Some may take the RAW, save the RAW, then process and save a JPEG (so you would have the RAW and the processed JPEG)

And if you do  have multiple Cr3 images, can you post them at say DropBox, as to share with members to see what occurs on their LrC rig.

If you move your position, by even a small amount, the HDR function may not work. When using AEB, be very sure to keep your position exact. This is where using a tripod can be of great use.

I know what you are saying as I also use a Canon camera, and have used AEB. The key is to keep a very steady hand.

Also, in this case, it is a good idea to take a few shots - much like taking shots using the panorama function.

Automatically bracketing what? ISO perhaps? You cannot create an HDR by bracketing ISO, because changing the ISO does not change the exposure of the sensor.