Of course. The desaturation is a rough gamut handling.
But that’s by design… The output dynamic range is a finite resource. When the contrast is set > 1 (meaning the slope of the central part of the S curve becomes stiff), it means you expand the DR allocated to midtones. If you expand midtones in a finite range… obviously, you compress highlights and shadows. Hence the loss of local contrast near white and black.
So, either you set contrast close to 1 in filmic, or you dodge and burn the old-fashion way (masked exposure or tone EQ if regions are not sharply defined), but there is no magic trick that will allow to expand both midtones and highlights contrast at once in a finite dynamic range.
On another note, I think people overdo local contrast in highlights, especially in clouds. Look at any sky with your bare eyes… since you are half-blinded by the light intensity, you don’t see much anything in there anyway. More on that in a another post…