When I started reading this, i was wondering what version of Photoshop you were using to process the HDR, and it was no surprise when I discovered you actually used Nik's HDR Effex Pro. The halos in your example are the sort of artefact we used to see in earlier versions of Photomatix. They way more pronounced than that in the early days, and pretty much gone by the current version 4.2. Photoshop has never been great at HDR IMO, but took a major leap forward with CC 14.2 when Adobe introduced the ability to process the 32bit file in Camera RAW.
Is you have CC, give it a try. It is an order of magnitude better than _anything_ else out there right now.
Processing HDR Images Using Adobe Camera Raw | CreativeLive Blog