The backdrop has a skylight that is inherited with it on placing it in the scene. The settings for it, and the actual backdrop’s image, also influence how it lights the scene too. In the page for it, the suggestion is to delete any skylight(s) in the scene prior to placing the backdrop so there’s not two skylights with different settings resulting in unintended lighting that’d be difficult to tweak to intended results. There’s a few other suggestions / caveats in the page for HDRI backdrop too.
It’s quite different from a cubemap since it requires a ground plane that is set correctly, and relies on dynamic skylight and dynamic reflections as components of the backdrop actor.