I'm not so sure. I did a shoot yesterday, and did a five-image HDR. This was the result: Now, it's obvious that the "windows" to the left are the result of them being in the original images, but I'll be damned if I know why they're showing up where they are. They don't show up in the three-image HDR...
Yes, that is quite strange. However, in your example, the "ghost" images in you picture do appear elsewhere in the shot. In the OPs example the "windows" are nowhere else in the image. That's why I suggested that it looked like an image that didn't belong in the stack. Where else could the windows have come from?