You can also use AfterEffects natively, and Blackmagic Fusion.
In Photoshop as Daniel said you need a plugin.
IMHO EXR's are best handled with After Effects and it's non destructive worflow, it will allow you to perform operations like Color Curves in 32 bit unlike Photoshop which is very limited in 32bit operations.
Also remember to configure your project to 32bit in AE.
Finally, you don't have to force the gamma output to 2.2, the 32bit images saves without gamma so you can work linearly and apply the gamma you want in post, you also have the option to save it to 8bit (32 bit integer) but I don't recommend that with EXR, you loose a lot of information.
Why do you disable compression? That compression is not like the JPG compression, is non destructive, so you can safely leave it at it's default, it's will make the file smaller but it won't remove any information :)
EXR is a whole new world of options and workflows but when you get used to it you won't be able to abandon it hehehe
Cheers!