Completing the HDR Creation wizard should immediately dismiss the wizard and bring up some sort of progress indicator that shows you the HDR fitting progress (and also the camera curve calculation if selected). These can both be QUITE lengthy operations and at present they block all operation of the program until completion.
Since they do block operation I'm assuming they need to be moved into their own threads. In addition I think it would help if threads were used more liberally. Specifically, when loading LDR images (particularly RAW images to 16bpc tiff files) you should launch all the hdrLoader threads at once (or at least more than 1) so that modern multi-core systems are used to their fullest. A check to see what the system supports may be in order first but waiting to launch the threads one after the other wastes processor cycles in free cores.