Displacement always needs to be loaded with gamma 1, but if you say that you're baking it in 32 bits and saving in EXR format, then you can leave it at default - automatic gamma - 3ds Max will recognize and handle it correctly.
Regarding turbosmooth on low-poly, it's not a bad thing per se, but you need to know that turbosmooth in Max can't handle UV seams correctly. It depends on your model's topology, if you see texture stretching along the UV seams after turbosmooth, then it might be good idea to remove it. Be aware though that without turbosmooth baked displacement can give less than ideal result. Again, this depends on how you prepared low-poly model and how you baked its displacement texture. You can try to replace with Open subdiv modifier, it gives you more control over how it's handling UV seams.