There could be a few potential things that cause the difference.
LR4.2 (and its ACR counterpart) can accept 32bit TIFF files and usually effectively tonemap them with fairly extreme adjustments to the Highlight/White and Shadow/Black sliders. So if you send the image sequence to PS for HDR merge and then, while still in 32bit, send the file back, LR4 I suppose will not complain.
In PS there are a couple of ways to adjust the preview of a 32bit file so that you can inspect portions of the overall dynamic range on your display. One is the 32bit preview slider in the bottom left hand corner of the application frame (1 in the attached screenshot). The other way, with more options, is the menu item "View > 32 bit preview options" (2) - I believe that when you adjust your preview in the Merge to HDR Pro dialog, the settings in the 32 bit preview options get changed.
In other words, make sure both of these preview settings are zeroed before you send you file back to LR or the preview may look very different than the actual file. These only apply to 32bit files - once you change modes to 16 or 8 bit, the adjustments you make on the HDR toning dialog that appears will be applied and the preview is no longer an issue. It sounds like you are sending a 32bit image back to LR, which LR4 will accept, but the preview in PS differs from what LR displays.
When you say "something has changed" - this support for 32 bit TIFFs came in LR4.1, I believe. Here is a short blurb from HDRLabs about it:http://www.hdrlabs.com/news/index.php?id=2782449297503966307
and from John Nack's blog:http://blogs.adobe.com/jnack/2012/04/lightroom-4-1-adds-hdr-toning-support.html