Many of them actually are HMI, or a near-identical technology. The reason for the selection of a comparatively expensive light source is that one of the frequently-overlooked benefits of HMI is that they're very physically compact. For comparison, ceramic metal halide bulbs of more or less HMI performance are anything up to eight inches long in their 400-watt incarnations, which would be difficult to accommodate in a moving-head light. 500-watt HMI bulbs are only a few inches long. Ceramic metal halide types of the same physical size might be 150 or 250W.
Whether they're HMI, MSR, or whatever, they're not really dimmable. If anyone's doing anything to keep power consumption down, they're just selecting lights that use low-wattage lamps. I'm pretty sure that types with 1KW output are available, though. They're not very small.
Edit - Clay Paky make types up to 1500W.
The main problem is that most of the intelligent lighting in use in clubs still has magnetic ballasts, which are likely to cause flicker. Rental companies may have types using high-frequency electronic ballasts, which are often known as "TV ballasts", for obvious reasons. I have tested several lights from the general rental stock of a stage sound and light company with rolling shutter cameras including Red Epic and Sony FS7 and there were certainly problems.
Intelligent lighting people are usually very aware that the colour which has most impact is open white, simply because it is by definition brightest. The optical system in some of the moving mirror varieties includes, at minimum, a parfocal zoom lens assembly, at least one, usually two wheels with gobos and optical effects discs, and colour mixing apparatus. The result is an effective transmission through the whole optical system of, er, F-lots, which means that even powerful ones can be fairly dim.
Moving head fresnels are generally rather brighter, but offer, naturally, a less defined beam without the glossy effects. They also move more slowly.