I have seen this on a few, albeit cheaper Hikvision PTZ cameras, exact same thing. To be honest, I kind of got the impression that it was either a bug in the firmware, or that the cameras did not actually support WDR despite their specs stating that they did. Your experience implies it is probably the former.
Not sure if you can revert back to previous firmware?
I have come to the conclusion that I only ever upgrade Hik firmware if I really have to...i.e. having existing problems, or missing features. Otherwise probably best to just leave alone as there are so many instances of problems after upgrading.
Sorry not able to help but can at least verify that this happens on other models too.