Mafia II Definitive Edition does not support HDR on PC at all.
Topic on Talk:List of games that support high dynamic range display (HDR)
Mafia II Definitive Edition
> For the first time ever, Mafia II: Definitive Edition packs the entire Mafia II crime drama into one stunning HD package. HDR and 4K resolution are supported on PC as well as on PlayStation®4 Pro and Xbox One X consoles. Mafia II: Definitive Edition also benefits from improved facial animations to give cutscenes an even more cinematic feel. While technological and graphical improvements have given Empire Bay and its inhabitants a visual overhaul, Vito's timeless story is unchanged.
I ended up investigating the matter further and confirmed that is is as you say -- it doesn't seem to support HDR. I've corrected the article.
All the Mafia:DE games support HDR on consoles. The developerss claimed they removed it from the PC releases because no that many people have HDR monitors.