It would be interesting to compare the two methods against one another...
that's what I did before posting. I took five pictures (+2, +1, 0, -1 and -2 EV) in RAW+JPG
I did the RAW Average in camera (A630) and got a new "averaged" RAW file.
Also, I did the HDR using PSC2 with the five jpg,s files.
I adjusted both final pictures at my taste... and got two photos not identical, but both of them had higher DR than normal pictures.
With a little of care that horrible (for me) "paint effect" you talked about, can be avoided.
Thanks indeed for your explanations