Not noticed this underexposure with my D200 but I do shoot RAW 99% of the time and I also use the spot meter and expose for the highlights. Using Nikon Capture 4.4 you've full control over the final image.
Have you used the incamera image merge tool? I've not yet had chance to try this but it looks a very useful tool, if it works! The same thing in PS CS2 is not that specatular.