OK, we've identified the problem. It's something in Media Encoder (not Premiere). So, if you:
1) make a media encoder job, and convert exr files to our format, then HDR export works fine.
2) if you do the exact same thing with an HDR video in media encoder, you do NOT get HDR export.
3) HOWEVER, if I take the same HDR video file, drop it into a Premiere project and then put it on the timeline, and then export THAT file, then we do get HDR pixels properly.
So, this appears to be a bug in Media Encoder and how it detects whether the input file is an HDR input or not. Where do I file bugs?
This wasted a ton of time, btw - you need more information in the export record stuff, so we can see what ME/PPro *thinks* it's dumping out...