Camera Raw's output is 8bit or 16bit (which can be set in the preferences-->File Handling-->Camera Raw Preferences. This means an automatic conversion to 16bit (or in Photoshop's case: effective 15bit). Which isn't an issue if your master file is also 16bit with the 32bit file placed as a smart object. (That is: if we do not care about Photoshop's limited 16bit image mode...) Here is the result with me opening a 32bit rendered EXR scene from Blender directly in Photoshop, converting the layer as a smart object, switching the main file to 16bit image mode, and finally applying the Camera Raw plugin: Full HDR support, as you can see. And here the same file but placed as an embedded smart object: No HDR support. It is deactivated. The quality sharply degrades, and it is no longer possible to edit in HDR mode. It is impossible to colour grade this properly as it (seemingly) only works in 8bit. Based on my testing here, I wouldn't place it directly as an embedded smart object via File-->Open As Smart Object. By the way, if I may ask: why use Photoshop at all for this work? I avoid Photoshop for jobs like these, because it adds another layer of potential mismatch and conversion issues as well as Photoshop's limitations in regard to 32bit files and in particular 16bit files. Instead, I use Blender's compositor to take care of this, and it also allows me to keep the pipeline a closed loop in regards to colour management and colour grading. For example, here is the above scene composited and edited in Blender's compositor: This avoids the conversion step in Photoshop, and allows me to output a higher grade 16bit PNG. And tonemapping in Blender happens in full 32bit and supports Filmic, ACES, and AgX out of the box with various transforms. Of course, I am unsure which 3D software or rendering process was used to generate your @csscms EXR images. But even if you do not work in Blender for 3D rendering, you can still open the EXR files directly in the compositor. Ideally we want to stick to a 32bit workflow until the very end when we output the final 16bit PNG file - something that isn't possible in Photoshop. Davinci Resolve can also be used for this, but is a tad overkill for still images perhaps.
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