Yeah, I really think you're at it.
By specifically exposing the low-lights and high-lights you get better color and gradation and less noise in the dark parts (see my article here: http://www.cameralabs.com/forum/viewtopic.php?t=648
By combining all exposures in one pic you get overblown colors in the shadows and have to reduce gradation/contrast to fit it all in one pic. That makes them look unnatural.
Thomas (beware: Nikon-fanboy and moderator!) My Lens Reviews
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