Right, well, I should have looked in the manual first, where it does say that the image area is smaller than when captured in normal mode. I might leave the question up, though, as it is a rather odd characteristic and might be useful to know for those intending to use in-camera HDR.
(In the German version, it is on page 102, as a tip marked with a ! -- what I'd love to know is why, as not all cameras do this with HDR.)
Just a quick update: One more thing I've noticed, which is that the preview in LiveView shows the shot with the same crop (at least it looks that way), so the user will likely get roughly the same composition as planned. So, it's not quite as inconvenient in terms of final product, as it seemed at first.