The issue is your use of enfuse and expectation of highlight recovery.
If you read the enfuse manual, you would see that there is much that you could do with it, including choosing which parts to include via masking and alpha.
If I recall correctly, your raw files were on the dark side. You can only recover what is there to begin with and not create something out of nothing. When you have multiple frames, you have more data. But more data where? In your case, the data density is still in the shadows. Hence, it makes no sense to export other exposure value sets from HDRMerge. In fact, you only export exposures where the various regions of your image look right.
Some photographers don’t approach it this way. They take creative license and synthesize or replace the sky altogether.
PS If you would like to gain more experience working with highlights, try tackling this [PlayRaw] 4: the Irish musician. Try to balance the light and retain detail in the lights. It took me a few tries and my highlight management skills improved as a result.