Currently the monitor that I am using is the LG 32UD99 which is supposed to be able to do HDR4K.
I have already tried reinstalling the Intel Display driver both from the Intel site and the Asus Site but it did not work.
On your suggestion that it could be the HDMI port that cannot do HDR, I switched to using the Display and that worked.
So I have 1 configuration that work using the display port.
But at this point I don't know which piece could not handle HDR because it could be:
1- the HDMI port on the motheboard
2- the HDMI port on the monitor
3- some driver in between that does not work.
I have also a Nvidia 1080ti on that same box and the display port can do HDR but the HDMI cannot but the Nvidia cannot UHD HDR because it does not have SGX.
Thanks for your help.