Quoted from the Apple developers guide (iPhone 6/ iPhone 6 Plus):
Single-Shot (Video) HDR
AKA “streaming HDR” or “video HDR”. The iPhone 6 and 6 Plus support
continuous, streaming high-dynamic-range video as opposed to the more
traditional method of fusing a bracket of still images with differing
EV values into a single high dynamic range photo. The HDR support is
built right into the sensor. This capability is referred to as “Video
HDR” in the API. All AVCaptureDeviceFormat objects for the
front-facing camera support video HDR. On the back-facing camera, the
540p30, 720p30, 1080p30, and 1080p60 formats support video HDR.
So is not only previewed, also the HDR video content is saved. As far as I understand, there should be not downsides in the HDR Single-Shot / Video HDR Formats, but as you can see in your documentation link tables, not highest resolutions are supported in HDR mode (VHDR), so you'll have to choose between the advantages and drawbacks of sacrificing resolution to improve the dynamic range.