In camera HDR
I had a communion to go to and while waiting for the ceremony to start I decided to give the in camera HDR function a try. This only works with a Jpeg image. It also only saves the middle image or the EV+-0 image. I set the EV+-3. What I don't like is that there is no way to tell which images you used when you upload all your images. I was shooting RAW and Jpeg so it was easy because these were the only 2 images that didn't have a RAW image too. Both images are out of camera and were opened in Camera RAW to crop.
Tamron 17-50 @50mm
I am using SNS-HDR for my HDR images as it seems to give a more "realistic" look. I am having a similar problem to you that my camera takes the three photos OK but when I get home I am not sure which photo is in the group of three; it would be great if the camera could number them in a different way.
There looks like more detail from the shadows on your second image but the colours are not so good on the alter area.
Here are some HDR photos of mine using the SNS-HDR software: