Check the following dpreview thread:
It does not clarify though what was happening in earlier firmware versions. By the way what firmware do you use?
Also, you cannot have the intermediate photos saved in 6D. In addition, the result is always a JPG (Even in 5D3) so there is no big deal except from the fact that you have to switch from raw to jpg and back every time you need to take an on camera hdr picture.
I was curious about this, also so I went to look The link throws a 404 error. Can you check the link and repost?
Ooops sorry! I must have missed something in copy paste. I will search again and report back.
It's text follows:
My guess is that you have raw selected. Set it to jpg and it will not be grayed out.
More info follows:
If you shoot a moving subject, the subjects movement will leave afterimages.
The color gradation of the sky or white walls may not be reproduced correctly. Irregular colors or noise may appear.
HDR shooting under fluorescent or LED lighting may result in unnatural color reproduction of the illuminated areas.
Only the merged HDR image will be saved. The three images used to produce the merged HDR image will not be saved.
You cannot select RAW and RAW+JPEG. The HDR mode cannot be set if RAW or RAW+JPEG is set.
If you set AEB, white balance bracketing, Multi Shot Noise Reduction, multiple shot exposures or if you shoot bulb exposures or a movie, HDR mode cannot be set.
Flash will not fire during HDR shooting.
HDR shooting is not possible with ISO expansion. (HDR shooting is possible within the range of ISO 100 - 25600.)
Since HDR shooting merges the images, it will take a longer time to record the HDR image to the card than with normal shooting. During the processing of the images, "buSY" will be displayed in the viewfinder and on the LCD panel and you cannot take another picture until the processing is completed.
In HDR mode, the options grayed out in the camera menu cannot be set. Note that when you set HDR mode, the Auto Lighting Optimizer, highlight tone priority, and exposure simulation will be set to [Disable] before shooting.