LR's HDR mode has always seemed a bit strange to me, for the same reasons, as I tend to expose the same, -2 - and +2 or even -3 0 +3. No matter the HDR merge tends to be very light, very occasionally highlights are blown, but not often.
The end result is not what you expect, but once you start using some local adjustments, the files become very nice. But as you point out, no matter what combination, the base highlights slider will be maxed out, thus you have to use the local adjustments to fine tune the file.
Where I had more trouble, (and posted here about it) was merging several HDR's in to a pano as LR for some reason would tend to blow out the finer highlights, even if they were not blown before. Not sure if this issue has been addressed or not as I have tried a sunset pano in a while.
Paul C