[brazen1]

Sooo.. this might be a Kodi issue, a madVR issue, a Windows issue, I don't know.

If I start HDR content, the TV (an LG OLED C1) switched to HDR, playback is fine, all good. Problem is that when I stop the video, colors are all wrong in the interface (like oversaturated). If I close Kodi and restart, they go back being ok.

If I activate HDR in Windows 10, this doesn't happen, but everything is played back in a way that keeps the TV in HDR mode.

This is a problem with all nvidia drivers after 441.87 and Kodi-DS-Player. If you must use a newer driver (new nvidia card). Only Solution is new Kodi Version with external player (MPC-HC or MPC-BE with LAV-Filters and madVR) ...maybe Kodi-DS-Player 17.6 with external player works too.

Hmmm?  I've used every build of official Kodi including v20 Nexus I'm using now.  I've always used every latest build of Windows too.  Same with Nvidia drivers.. currently 471.11.  I also use madVR and LAV filters with a few external players for videos less than 2160p HDR preferring madVR upscaling and other processing for these lower resolution titles.  I always use Kodi VideoPlayer for 4k playback because 4k needs no extra processing and the tone mapping it does is more than sufficient even on large displays and when passing through, it makes no difference.  I have a diverse collection of various content from DVD to 4k blu-ray in many containers such as mkv, mp4, avi, TS, and iso.

When any video is finished (including 4k 2160p HDR) using an external player or the internal Kodi VideoPlayer, Kodi always returns in focus in the native 2160p resolution and HDR mode auto switches off.  Windows HDR is never manually engaged or disengaged and it needn't be.  I have never experienced Kodi remaing locked in HDR mode after playback. 

That said, I've no idea how DSP or a C1 behave since I use neither.  I'm providing a little testimony fwiw encouraging you two to dig a little deeper into your problem because it doesn't exist for others.