Help requested with color management

[elsksa]

I know Photoshop isn't the best tool to deal with EXRs, but it's my preferred way for image editing.

This mentality is the reason why so many are struggling with questionable and inappropriate workflows/pipelines. At least you are aware, but there are ways to still make PS "usable" in such context.
Briefly,
1. EXR
2. to a proper compositing software for post/comp tasks,
3. "pre-conformed" to "web/display" from .2 and exported as TIFF for touch-ups in PS.

Straight to PS is 100% an inevitable ruinous destructive/inappropriate path.

[Andreas_Resch]

Thanks for the information. It's not too bad to adjust the gamma. I'm not creating that many images and I also save out TIFF's. If there had been an option, I would have used it.

[elsksa]

It's not too bad to adjust the gamma

An EOTF (mistakenly known and referred as "Gamma") is actually unavoidably necessary. From "linear 1.0" to the output destination specification, typically the "sRGB one" for web purposes (sRGB EOTF). But as the link mentions, just conforming from "linear to sRGB display" isn't enough and will inevitably be prone to imagery flaws as it wasn't designed or purposed for that.