EDIT: Solved, see post three if you wish.
File->Automate->Merge to HDR Pro
Checked - Attempt to automatically align source images
Browse, select 9 NEF (RAW) files
Unchecked - remove ghosts
Now, there's a histogram and a slider below it labeled "Set White Point Preview". I've read a ton of websites that say this slider just has to do with the preview on the screen, and doesn't actually affect the image.
On these set of images, the slider defaults to around 78% based on my guess, it doesn't give a percentage.
If I hit OK, then repeat this process again but change that slider (for demonstration purposes, all the way to the left or right), the resulting 32-bit image is different!
Each image opens up with the 32-bit exposure slider in the bottom left centered at what I would call 50%. Since both images have this slider at the same point, I would expect there to be no visible difference when switching between the multiple open files.
I've done this several times to make sure I'm not missing something simple.
What's going on here? Is this slider supposed to change the image?