I wasn't having much luck on this either. I made a Sky object and assigned a Cinema material with the HDRI in the colour field. When I rendered, I could see it surrounding the scene but there was zero contribution to lighting. Eventually I worked it out that your Cinema material needs the map in the Sky's colour channel to show in the background, luminance for illuminating the scene, reflection to reflect in the scene's objects and transparency channel to refract through them. So it's a weird use of the material compared to what you're used to in Cinema but a clever way to give you access to the settings in Studio from within Cinema.
It does show you this in that little table in the manual but I don't think it's very clear until you know how it works!
I have to say I'm loving the way the plug-in works now, so far no need to use Studio which is what everyone wanted.
Working Sky object here (just replace my HDR with your own):
http://www.loopcorp.com/Miscellany/HDR_Illumination.zip
Incidentally the image in the manual is showing the wrong Sky object isn't it? You want the simple scene object, not the full featured Sky creation tool
