Photoshop 2022 + seems to not be honouring the colour settings applied to a single opened .exr file once load files to stack is chosen.
Opening a single .exr file will accept the colour settings, in this case:
Assign to sRGB then tick the box to convert to working RGB ( Adobe RGB 1998 ) at the same time.
Once this has been done, returning to open a large stack of EXRs, it leaves the images being stacked in an untagged state and does not give the same result assigning sRGB and converting to Adobe 98 after the files are stacked.
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