Failed to load the file as it's corrupted in Insta Studio 2020

Hi,

I am trying to merge several dng files into one HDR .dng with Camera raw from Adobe. The resulting DNG file is rejected by Insta360 Studio 2020 as corrupted. What should I put attention on?

I follow this video: https://youtu.be/eCdCTy0esOg (Starting at 6:10)

Regards

Peter