A single shot HDR is a mehtod for producing HDR images without having to take multiple exposures of the scene. When out shooting, expose to preserve highlights. Once hightlights are blown, they're gone forever. Shadows however, contain more recoverable detail. When importing your RAWs into Lightroom, don't apply a preset that does anything to the image. The best thing to do is apply the "Zeroed" preset. Then, follow these steps:
Flat blue skies will cause difficult to correct halo effects. They don't look pretty and it can be extremely tedious to get rid of them after the fact.
Easier to correct but more annoying (to me at least) is that sensor dirt will be accentuated. If there is even a single spot on your sensor that isn't immaculate, SSHDR processing will find it and make it so painfully obvious, your legally blind aunt will be asking why you don't clean your gear more often.