Not necessarily.
Depending on the scene, someone might set +2 stops bracket for the shadows when they could have actually set +3 or maybe even +4 using ETTR and still not blown anything in the shadows.
You then set lightness in post back to what you want before blending that shot into the final image.
The shadows in the final image that came from the ETTR'd shot will have less visible noise than a shot taken with the +2 bracket.
Which technique someone chooses to take the shots to blend into a hdr image comes down to personal choice, styles and how important maximising the quality of the raw data is.


