That specific message is displayed only in the in-camera review screen. If you tap the 'X' to exit capture mode, do you see your HDR appear after a short while? Exit the camera, and tap the cloud button to check on processing status -- if you still don't see the HDR within a minute or less, please do let me know.
That message you mentioned in the camera review mode is misleading. It sounds like the image is already processing. Actually, the app begins processing HDR images only after exiting the camera. I'll follow up with our designers to get that fixed.
Sorry for the trouble here -- If you force-quit and restart the app, does that allow processing to complete? Do subsequent HDR captures complete processing?
This issue is surprising--I use the HDR feature regularly and I've not seen it before, and I can't reproduce any trouble now. Are you on the latest release, Lightroom CC 3.2.1 for iOS? I'll contact you in a private message to ask for more info.