5200's built-in HDR

I'm trying to use the d5200's built in HDR function, but have been unable to make it work. I have auto bracketing OFF, image quality is jpeg norm. Firmware version is up to date. I have tried setting release mode to single shot, continuous L and continuous H. I have tried all shooting modes - P,A,S, and M, and I have tried it with Active-D lighting off and in (various) on modes. HDR is on, set at either Auto or High. Following the instructions on pg 71-72 of the 5200 reference manual, when I press the shutter release half-way, "HDR" does appear in the viewfinder, as the reference manual states ... but when pressing the shutter release all the way - the manual says that 2 exposures will be taken ->the words "job HDR" will appear, and the 2 images will be automatically combined, ... when I press the shutter button all the way, only a single exposure is made and the words "job HDR" are not seen. I'm at a loss as to where the problem lies, preventing me from using the in-camera HDR. I would like to see the results of the camera's native HDR function before resorting to purchasing software to create HDR images. Any suggestions? Thank you.