HDR is predominantly a cinema thing, so TVs got it first. Consoles plug into TVs, so they got it. Since consoles have it, games started using it. Windows is the operating system people use on gaming computers, so it got it too.
Linux on the other hand is primarily developed by companies in the datacentre and server markets. Linux on desktop PCs is an afterthought, and Linux gaming is a minority within the desktop Linux minority, so things that are "nice but not necessary" fall very low on the priority list. X11 development is effectively deprecated and Wayland has had a very troubled start, so luxuries like HDR weren't a priority until recently.