FYI, on saving SKY-HDR individual shots. Hope this post is not redundant.
It is model specific. Here is the table from Sony
Application Feature Restrictions Based on Camera Model
Saving of Original Images & White Balance Micro-Adjustment features
Not suppoted Models
α7R, α7S, α7, α6000, α5100, NEX-6, NEX-5T, NEX-5R, RX1R II, RX10 II, RX100 III, RX100 IV
Supported - Other camera models
Dan