Movies are not shot that way on set, no. There are of course playback monitors but they don't usually 'shoot' for HDR on-set, they have a DIT (digital intermediate technician) in charge of managing the incoming data (when shooting digital) who often applies a basic LUT (look up table) to adjust the raw camera information into something that's closer to the intended look, and these LUTs are often carried over into the final colour grade with plenty of other tweaking.
As a rule, normal digital cinema is not 'high dynamic range' in the same way that home HDR is (though it does have a wider colour gamut and more of a logarithmic gamma curve to emulate the roll-off of film), and even the theatrical Dolby Vision HDR system only has about 100 nits peak brightness, so the HDR grades you see on these UHD discs have little to do with that theatrical grading process and are very much revised after the fact. But these extra grades (for SDR 709 Blu-ray, for HDR 2020 UHD etc) are usually built into the movie's post-production schedule so they're still overseen by the filmmakers, although the same can't be said for x catalogue film that's been regraded into HDR.
But I find that grain always tends to less far less pronounced at the cinema anyway, for whatever reasons (large format IMAX blow-ups aside). Yes, we're looking at a huge screen but we're also sat a fair distance away, couple that with a massive reduction in brightness compared to consumer flat panels (14 foot lamberts is the recommended SMPTE brightness for 2D cinema, that's about 48 nits) and it doesn't bring out the grain as much as consumer HDR does.