What are you configuration settings for MPV, here are mine, and HDR Conversion works in the files that I have:
profile=gpu-hq
gpu-api=vulkan
gpu-context=winvk
hwdec=nvdec
vo=gpu
spirv-compiler=shaderc
priority=high
scale=ewa_lanczossharp
cscale=ewa_lanczossharp
dscale=ewa_lanczossharp
dither-depth=auto
correct-downscaling=yes
sigmoid-upscaling=yes
deband=yes
vd-lavc-dr=yes
vd-lavc-threads=16
sub-font-size=35
deband=yes
deband-iterations=4
deband-threshold=50
deband-range=16
deband-grain=0
hdr-compute-peak=yes
glsl-shader="C:\Users\musta\AppData\Roaming\mpv\Shaders\FSRCNN_x2_r2_16-0-2.glsl"
glsl-shader="C:\Users\musta\AppData\Roaming\mpv\Shaders\ravu-r4-chroma-center.hook"
glsl-shader="C:\Users\musta\AppData\Roaming\mpv\Shaders\SSimDownscaler.glsl"
fbo-format=rgba16hf