Hi,
as for the first issue, the passes available: Corona Alpha v5 has somehow limited number of passes, but the next release will have the full spectrum: {Direct, GI, Complete}×{Diffuse, Reflect, Refract, Translucency}.
Second problem is with the gamma: this is an issue of 3Dsmax, which handles the saving. Plugins responsibility is only to provide it with data, which Corona (at least in the latest daily version ;)) does correctly. Use 3dsmax 2014 for best results, as it can automatically detect correct image gamma, and apply it.
Third problem, saving everything as single EXR: this can be done in 2 ways, either via 3dsmax (which can save complete image with passes into single EXR, if you add the elements to it somewhere in the UI), or via Corona by enabling autosave option in VFB rollout