I tested HDR on Xbox One using this file: http://files.hdrsamples.com/downloads/hdr/Life_of_%20Pi_draft_Ultra-HD_HDR.mp4 (publicly available HDR sample)
Here's the result: Movies & TV app on Xbox can play the file and triggered HDR on my TV (copied onto a thumb drive and plug it into the XB1).
I tried streaming the file through Plex, even though it came up as Direct Play on the server side (nothing was being transcoded), HDR did not activate on my TV. Plex does not support HDR content on Xbox One? Or does Plex stripped HDR metadata from the file when streamed?