Resolution... I did some HDR with PS CS6... same thing. upon closer inspection of the files there is simply no detail at all in these areas in the three exposures used to make this HDR final product.
Lesson Learned: More exposures? or perhaps find a different subject...
It seems odd that there's no detail at all in such large areas and that they are still rendered in the final image at a uniform luminance level well below that of the burnt out highlights. I imagine this must be some sort of artifact of the HDR processing which the in-camera software and PS SC6 share. I've occasionally noticed some grey fringing in HDR images but never these large uniform areas. Does 'ghost reduction' affect the grey areas?
If the highlights are blown out in all three, that is sometimes unavoidable for subject matter like that (bright sunlight reflected directly off water), but it can be mitigated by using more than three exposures and thereby enabling a larger range than merely +/- 2.
When you get a grayed out area like that you can place the best layer over top or under and use a mask to paint in where you want the clean highlights to show.