I came across this issue which focuses on some artifacts when attempting to compress regular DXT5 compressed cubemaps. But the original poster also backs up my claim that HDR textures, in his specific case cubemaps, are not being compressed by the cooker. I consider this to be a separate issue to the “DXT cubemap artifact”, I think it deserves its own ticket in the issue tracker.
https://issues.unrealengine.com/issue/UE-37841