Forza Horizon 3 and Gears were released before HDR support was added to Windows, they would need a patch to support it. Anything released in the Windows Store needs support in the OS to work. Not sure why Forza 7 doesn't have it, as it is a recent release. Mass Effect has nothing to do with Windows, that is EA's issue. I would think that future play anywhere titles will support HDR on PC, as Sea of Thieves does, but maybe some traditionally console exclusives will not to attract people to buy a console. HDR userbase on PC is probably much smaller than on console so that may factor in also.
I understand all the criticism of Windows store games. IMO Windows 10 was released about a year or two too early. It is working great now IME, but the first year especially was a mess.
One X is GREAT for multiplatforms, so have fun with it. I just bought FH3 (was a good deal on CDkeys), planned to just play on my One X (looks amazing), but might try it out on my PC to see how plays.