No, it’s not.
There are two parts to this. First is capturing a HDR image, either by stacking photos or using a sensor with a good dynamic range (and capturing in raw). This is a good thing as you are capturing more information.
The compression you talk about is called tone-mapping and is used to make it possible to view HDR images on a non-HDR display. It can either be (over) done intentionally or it can just be an unfortunate consequence of HDR displays not being mainstream yet. Fortunately HDR is becoming a thing now for TV’s so computers are sure to follow.
Now, viewing HDR material on an actual HDR display, that is something different and can look absolutely stunning.