What does the layered HDR icon mean in my photos?
Older iPhones would put the 'HDR' overlay only on pictures that used HDR.

The iPhone XS/XS Max has some form of Smart HDR on at all times (when turned on in Settings).  You will only see the HDR overlay for times when the system had to use extreme or excessive HDR to the photo.

If you have Auto HDR turned on then be assured that it's apply Smart HDR to your pictures.