most filters only work in 8 bit mode, this is normal. What you may find helpful is using RAW editing for the 16 bit, but again filters wont be available for the most part too.
You may find it hard to open a render in raw mode because it does not have real photo data. However Your HDR as you already know will easily open.
Do all color correcting , contrast, exposure work in 16bit or better if you have a reason, do FX in 8bit.
There are two ways I know of to look at HDR. 1) as a photographer 2) as a 3D artist. But I am not sure how far apart the thinking gets. Photoshop looks at HDR like a photographer, so in that respect look into "HDR & Photoshop" by colin smith. Spending a little money on basic instruction stuff will save you a ton of time to work on advanced methods.
*oops, I see you said CS5. I am not sure if what I said hold true in that version. Let me know.