If you don't like launching through steam.
Go to tty2 (or another tty), log in, go to game dir.
Run
DXVK_HDR=1 STEAM_MULTIPLE_XWAYLANDS=1 gamescope --hdr-enabled -O DP-1 -- proton run HorizonZeroDawn.exe
enjoy. You should see the HDR option enabled in your game.
KDE Plasma 6 beta has working HDR. Only issue is there's no HDR compatible app to take advantage of it.