The Shadow only surrounding does not show HDR images in Stellar render mode and uses a checkerboard texture instead.
Create a Local surrounding to load the HDR file instead of the Shadow only surrounding.
Make sure the Primary visibility flag in the Properties tab of the Object editor is activated to show the HDR image.
If the image is still invisible try deactivating the Infinite size checkbox in the Transformation tab of the local surrounding. This is necessary if the Stellar background color is set to something else than pure black in the DELTAGEN Preferences.