Bill, when I got my D500, I was excited about the built in HDR. Then I discovered it has what I consider to be a fatal flaw. It does NOT save the raw images it uses to make the HDR. You only get a final JPG of the HDR. So, you'd better hope you like it, because there's no going back. You can make any adjustments, or even use just one of the images and extra data from the raw.
There are so many good HDR programs out there these days. They have a variety of approaches, techniques and looks. Even a single program often will have dozens of built in parameters, ranging from so subtle that it's hard to tell it was HDR to "Nuclear color".
There are dozens of reasons to shoot in RAW rather than using the HDR that's built in. Use bracketing, and you can do the exact same thing. The only advantage to the built in version is that it's fast. Personally, I'll do a bit of work in post to get far more control and flexibility. Many programs have "anti-ghosting" options that might get rid of the problem of the moving train.