Simply put, you do need to 'capture' all the image information before you can manipulate it in post.
If you look at a scene you are about to photograph, skill and experience will tell you if the contrast range, or dynamic range is too wide for your camera to handle, think of a sunny day at the beach, can your camera really get the sky detail and the the waves and the wet sand...? Some cameras, like a MF back or a Fuji S5 you will get a better dynamic range, or the ability to capture more of the shadow and highlight detail, at least 1 to 2 stops more.
But, if you think your camera will blow out the highlights or block up the shadows, then use a filter to bring down the sky, retaining it's detail, then if you are exposing for a mid tone you should have good detail in everything from your dark shadow areas to your sky.
With all this detail, LR then becomes your best friend as you can darken sky even more or open up shadows even more because you captured the detail in the first place.
Everyone's experience with post production workflow is different but I find that if I have captured all the detail in the photo I can work faster on the final image in LR, it almost replicates the traditional darkroom that Igrew up on. Merging two or three files in Photoshop is quite easy these days but for me at least still takes considerably longer.
Ultimitely though, if you capture the detail in the first place using a grad or ND then you will have the ability to create a better image later on.
Also a point of note with digital, expose to capture the highlight detail even if the shadows block up a bit as it's easier to then compensate for that in LR etc afterwords and still have a fairly noise free image.
Steve