Yes it matters if your attempting to play an HDR file on a player installed on that Windows operating system. It would not matter if you are using an external player installed on a streaming device like a Shield, where you would just be passing the file out to it.
I had a similar issue where I thought for certain I met all the conditions for HDR and windows. My CPU's built in graphics supported it, all my cables did, and certainly my OLED did. After much research did I find my motherboard, which supported the CPU, which supported HDR, came with HDMI port below HDR standard. Since that port was the only way to send graphics out to a display, Windows would not allow HDR configuration. I thought I was really careful putting the machine together. Not careful enough. I was Pissed at the motherboard manufacturer for supporting a CPU that included HDR graphics, than supplying a HDMI below that standard.
Keep looking for culprit. It's hiding somewhere.
Larry
My solution was buying an on board graphics card.