*UPDATE* March 2021
It appears there is light at the end of the tunnel. MS is working on enhancing the HDR feature on Windows 10 to another level. With that there should be massive improvements in the way its implemented and work with games and the OS (I HOPE). I've personally called MS and escalated this to one of their engineers. Hope is on the way, see article below.
https://devblogs.microsoft.com/directx/auto-hdr-preview-for-pc-available-today/
*UPDATE* June 2020
So if you install the latest Nvidia driver 451.48 or later combined with Windows 10 v.2004 it completely fixes the issue for me at least.. I see some post below of users saying it isn't working so I am changing the thread to not fixed.
I've tested past, current versions of Windows and scoured various forums for a fix. This is happening to many many people yet still not fixed... The Windows 10 Volume OSD turns HDR off or appears to have some sort of affect whilst adjusting the volume. When the Windows volume overlay appears on screen while HDR is enabled in fullscreen apps or games, the monitor goes dark. Once the overlay is off screen it turns back on. This is very annoying as I would like to use HDR without my screen turning off in the middle of competitive gaming. Also for what ever reason Nvidia Shadow play or recording doesnt work while HDR is enabled in Windows. Can someone make note of this and please fix it... I know this has been reported before but even on the insider additions of Windows the issues still resides.. :(
The only temp fix I can find is turning on your mouse trail in the mouse settings in windows.. This eliminates the issue but who the heck wants a mouse trail!