one time tasks: create PL profile: lens-fix only, create HDR intermediate directory (I use c:/temp/HDR, but if you share your machine, it should be in your user hierarchy)
Then, in PhotoLab
- select all shots in a bracket
- apply lens-fix only profile
- export as TIFF to your tmp-HDR folder (16 bit, no resampling, profile AdobeRGB, suffix ‘lfo’)
Run HDR EFX 2. (On my PCs, this is C:\Program Files\Google\Nik Collection\HDR Efex Pro 2\HDR Efex Pro 2 (64-Bit)\HDR Efex Pro 2.exe, yours might be elsewhere)
- The selection window will open
- select the lens-fix-only TIFF files you just exported from PL
- choose appropriate HDR options
- OK
- HDR EFX will save a file in your temp HDR folder
In PhotoLab
- open the new HDR TIFF file in your temp HDR folder
- apply any settings you want
- export a TIFF or JPG (PL will save to your temp HDR directory unless you pick a different one)
I’ve likely missed an important step (writing from memory, photo edit box is at home) Feel free to correct me 
Note, I leave noise reduction OFF in my ‘lfo’ profile, but I’m using FF cameras, and don’t need it for HDR. You may want it on - or even set to ‘prime’.
Hoping this helps someone…
Edit:
I see there is now a DxO version of the Nik collection. If you use that, I imagine it will install to a different directory (and might sidestep installing both 32 and 64 bit versions on 64 bit machines). If you are using it, you will have to find the exe.