You've discovered that scenes can have a dynamic range (range from the brightest to the darkest in the scene) that exceeds what your camera can capture, and even less than a regular JPEG can show.
You have a couple options for addressing this.
1. Use the DR settings (DR100, DR200, DR400 or DR Auto) to compensate, the higher the number, the more dynamic range it can show. This only works in JPEG though and your RAW files will be underexposed.
2. HDR bracket your shots. That includes tak
That's because setting the lens to anything other than A is telling the camera you want to control aperture on the lens. A is the setting for body control of aperture(same as on the ISO and Shutter dials)