No they don't. ND filters have absolutely no effect on dynamic range at all. You simply don't understand exposure.
What i SUSPECT you're thinking is if you force lock your shutter speed to a specific setting then if theres too much light an ND will drop it down to a level where the image might be exposed more correctly. But thats a totally different thing to getting rid of blow outs. NDs are now specific, they block shadows, highlights and midtones equally. They have no effect on dynamic range or contrast.
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