I have recently been reviewing aspects of HDR imaging from various sources.
One of the recommendations is to shoot with the lowest ISO possible - preferably base ISO (this I do as a matter of course).
The reason advanced is that any noise will be accentuated during HDR imaging.
The noise increase is the result of local contrast enhancement. The more radical the local adjustments are, the more the existing noise gets accentuated. Therefore it's best to start with as little noise as possible.
The sources I have been reviewing tend to use Photomatix Pro.
Yes, it's popular, because there were few real competitors at the time when HDR photography became popular. Companies like Adobe were not interested in that small group of users.
Now for the interesting bit: I have found, using CS5 Merge to HDR, that the merged result is essentially noiseless.
This has been great for me since I can sharpen without concern for noise (I don't oversharpen by the way).
One goal for HDR photography is to span a larger brightness range than would be possible in a single shot, but another goal is to collect as many photons as possible at all levels of brightness. So if you collected more photons for your shadows, the noise will be lower than it would have been with a single shot. In addition, HDR software can make use of multiple levels of exposure which (after proper scaling to the same brighness) can be averaged to reduce the noise. The software could also apply some noise reduction during the processing without telling us.
So the noise increase warning is mainly an issue when extreme (local) contrast enhancement is applied.