I also have trouble with the gamma of .EXR files.
When I save from the Render Output (1), with gamma set to "automatic (recommended)", my file will have gamma 2,2 applied twice.
When I save manualy from the MAX Buffer (2), with gamma set to "automatic (recommended)" , my file has the correct gamma.
That may be a 3DS Max issue, it's very frustrating while saving multiple render passes
