Support for HDR in the Built-In Render Pipeline depends on the rendering path in use.
In the Forward rendering path, a Camera only supports HDR if you have a post-processing effect on the Camera. This is due to performance considerations. If you have no post-processing effect on the Camera, the scene will be rendered directly to the back buffer where HDR is not supported.
In the Deferred Shading rendering path, when HDR is enabled for a Camera the lighting buffer is also allocated as a floating point buffer. This reduces banding in the lighting buffer.