You need to select IFF16 or TIFF16 or any format with 16, then EXR will be the output format. Don't forget to set the EXR options in the second tab (half float 16 bits or float 32, multichannel or not) and to disable "tonemapped HDR" if it is enabled.
Yes I know this doesn't make any sens, but well this is the OctaneForMaya way to setup linear workflow and render EXR.