You can't blend to an encoded render target, since the GPU can only do linear RGB frame buffer operations during blending. Plus both formats make use of the alpha channel anyway, so you can't use it for opacity. You also can't properly filter those formats using the texture units, since they also are limited to linear RGB operations. A lot of people will still filter those formats anyway, since while the results are "wrong" they can still look okay in a lot of situations. I don't know about GOW3, but Naughty Dog gets around the blending problem by first rendering their opaques to a 2xMSAA encoded as LogLuv (RGBM for U2) and then resolving it to an FP16 target with no MSAA. Then they blend the transparents into that.
Guerilla is in bit of a different boat from Naughty Dog or Santa Monica because they use a "classic" deferred renderer. With their setup, the GPU needs to be able to blend the results of each lighting pass into the frame buffer since it handles all of the lighting. Naughty Dog does most of their lighting on the SPU's using a light prepass-esque setup, and GOW3 forward renders, so they don't have that problem. Hence why encoded HDR formats are not a magic bullet solution for them. They also mentioned in one of their presentations about how their artists preferred to have direct control over the final output colors rather than having to deal with exposure and tone mapping, but I couldn't tell you how much of that is true and how much of that is just damage control.
