Hi Steve,
I've noticed the same thing. I have in the past used the 'dark structure enhance' script on field filling nebulae. That seems to help bring out contrast although it does sometimes punch holes where there's actually some nebulosity.
HDRWT requires high signal levels and subtle detail in that signal. It's certainly possible that the nebulae you've tried it on were relatively dim and even. You know, a gas cloud is, well, a cloud. Pretty even, smooth. A galaxy has the potential for much more detail due to the arms, dust, clusters and other features that are huge but so far away they appear minute in our pictures.