Hi David,
Thanking you.
I have mentioned a few times, even in my astrophotography threads, that I am a fan of low contrast images. I /like/ seeing shadow details. If I process to allow contrast, and then bring up shadow details, to me, that looks unnatural. Horses for courses, though.
And, yep, the whole point of using ND filters is to increase the dynamic range in the image. And, this is, as you mentioned, what HDR software tries to do, but, it doesn't get it right. I'd much prefer to do something in camera than let software deal with it afterwards. Of course, I blend images, too, when required, using masks, as you've also mentioned. This is just another way of increasing dynamic range, however, you, as the processor, have control over its strength and where/when you wish to apply it. Unlike HDR.
Cokin filters are at the bottom of the neutral density filter pile. They are not neutral, and, sometimes, it even says so on the package. Cokin's have a nasty reputation of adding magenta casts throughout the entire image. In the end, you get what you pay for. But, having said that, I still have to deal with nasty reflections every now and then. This is where the method of blending becomes a god-send. Nowadays, particularly with the lattitude that RAW provides in post, you can effectively use the one image and double-process it. This is also something I do every now and then when required.
Cheers!
H