Exactly. I think it's a sort of cargo-cult holdover from Ansel Adams that makes us all think that everything in a picture should fit within the available dynamic range, with highlights just touching pure white and shadows just touching pure black. The exposure on the wings and the body is perfect, and blowing out the highlights gives a real sense of how hot and bright it is.

(Also, I have to admire you for the depth of field. All of my dragonfly pictures have either one wing or the other out of focus.)