Windows HDR implementation is janky as hell. For months after I got my monitor I couldn't take screenshots because they'd all appear completely blown out, like you cranked the brightness to 300%.
Eventually I did some digging and found there's a setting in Snipping Tool that just... makes screenshots work on HDR displays.
It also seems to add another layer of Your Desktop Trying To Sort Its Shit Out when launching a game that's full screen. Sometimes it's fine, but some games like Balatro will appear fine at first, but then when you quit back to the desktop everything is washed out. Sleeping my PC and waking it back up seems to resolve this.
I recently played through Armored Core VI, and it supports HDR, but whenever I adjust my volume the screen becomes washed out to display the volume slider. Screenshots and recordings also appear washed out in the resulting file.