What revision and firmware is your monitor? I thought they sorted the HDR setting memory in the later revisions! Although I recall it just being that it displayed that it was back on 400 whilst still actually being on 1000, the OSD basically forgot what it was on so showed that it dropped back to 400.
Yup it doesn't interfere with sdr mode, i checked and the icc profiile turns off.
There are games with "real" HDR that don't have in game calibration, so it fixes them. It has definitely made a difference as now games without an in game hdr calibration setting and youtube hdr content looks a lot better. I still turn off HDR for sdr use, but now when i turn on HDR i have the added benefits for the times i watch hdr youtube content or play a HDR game without calibration menu.
I actually just tried this out and can confirm it creates a HDR profile:
And when you turn off HDR, the active profile is gone:
Even though it is visible in the old skool colour profiles screen but does not seem to affect anything outside of HDR mode.
After doing the calibration I was able to drop the SDR Content slider to 10 from the previous 20. But as you say, the look/feel still isn't 100%, there's like a feeling of washiness over everything SDR still regardless of what you choose so yeah, turning off HDR mode for purely SDR use is still necessary to keep SRGB accurate and looking normal/natural.
I did not increase the colour saturation during the calibration tool btw, left it on the default 0 as don't want any added vibrancy above natural levels.