For HDR content yes, but if just left on then everything else (which is SDR content) looks out of whack, even if slightly, so images, videos, etc will all not be accurate and black will be lightly lifted no matter what slider changes you make in Windows display settings. The HDR Calibration tool is purely to get HDR luminance matched up to what the display is physically capable of, then giving you a vibrancy slider at the end which is an optional change depending on your preference of vibrant colours or natural etc.
HDR still needs to be turned off when not playing games or watching HDR stuff unless you don't mind having inaccurate colours and tones when SDR content is on the screen, which will be 100% of the time when not gaming or watching a HDR video.
It might not be obvious at first, but flicking between on vs off when just in Windows displaying a normal image in a browser (example) you can see the difference, and those with a colour critical eye will notice it even without having to compare side by side. Seems a disservice to keep HDR on in Windows because you're not doing the accurate SDR colours of such a monitor justice by doing so.