This happens because Photoshop can't handle the conversion between 32 bits and 8/16 bits while maintaining color accuracy, it will slightly shift tones and it's prominent in darker gradients. This has nothing to do with profiles or anything else, it just doesn't do it right. In order to work around this, don't save to exr only, make sure to add an alpha element and save that to TIF. Since alpha channels are within the 0-1 range you won't lose any information. Or save to TIF from the VFB, this will save out the correct alpha, too.
If you have access to AE, try it there, it should handle this correctly.
