The option is permanently greyed out. Fullscreen, Windowed Fullscreen, Borderless, Windowed, not a single option turns on HDR. Wondering if the proper implementation of HDR in Windows is what messed it up - i.e. Windows actually providing the HDR interface now instead of Destiny having to directly take control of the monitor is causing the problem. Either way, I thought I should probably bring it to light before Witch Queen drops(I read today's TWAB, I know they have stuff planned to implement it better, but it's messed up right now is all I'm saying).
Edit: Yes, I have HDR and Auto HDR turned on in Windows 11 settings before anyone wants to start memeing on "EZ Fix hehe"
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As has been mentioned Windows 11 is straight up not supported and I suspect will not be till 2023.