This gets a little tricky with software decoding.
HDCDs are recorded at a normal level. When the signal is send to a hardware HDCD chip, the chip drops the signal level by 6 dB so the decoded signal, which has a wider dynamic range, does not clip. Many people increase the volume control on their amplifier to compensate for the lower level, but that does run the risk of clipping.
When a software decoder is used, when it expands to 24 bits (actually 20 bits padded to 24)) it should drop the level by 6 dB, just like the hardware chip does. Some decoders have an option to increase the level by 6 dB, which brings it back to the original volume level, at the risk of clipping. That is basically the equivalent of turning up the volume on the hardware chip system.
Replay gain is tricky, depending on whether it is calculated on the original file or on the decoded data. If the replay gain is calculated on the original file without decoding then applied to the decoded data the volume will still be 6 dB too low. Adding back 6dB will get it back to the original level, but again at the risk of clipping.
Replay gain should really be calculated for the decoded data if the software decoder is going to be used. However, that means doing the decoding before doing the replay gain calculation.
It seems to me that replay gain can only be correct for one of the two possibilities - for the original file with no decoding or for the data after decoding. Applying replay gain on the fly when there is an option to decode or not, will only work if replay gain is also calculated on the fly, which is not possible without a significant delay while the calculation is done.
It seems that the best way to handle this is to decode the file to the 24 bit form and store that. Then, apply replay gain to that file. That will also avoid clipping problems, although it might not be load enough given the expanded dynamic range. That is what I do. Then there is no ambiguity. Unfortunately, I do not think MC can create a decoded file. I use dBpoweramp to do that and have since before MC had HDCD capability.
As far as I can tell, the Cambridge Audio CXR-200 does not decode HDCD, so the non-decoded file should not be sent to the DAC if you want HDCD decoding to be done. Which means replay gain will not work for you if it is calculated on the original non-decoded file.
Hope I got all that right.