Now that MC can both write and read EXR files, which is quite welcome, one issue I've run into is color space handling.
I just had to send one clip for object removal. Standard HD sequence in Rec709 - a mixdown of the main timeline, so no color or effects. Selected the clip, exported EXR sequence. Opening the sequence in the VFX software, the blacks are crushed. Doing a straight render in VFX (without changes) and re-linking into MC brings the same crushed blacks into MC. The round-trip should be seamless if no changes are made anywhere. But it doesn appear to be.
I checked and couldn't see any settings in EXR output.
If I do the same from other software (e.g. Resolve) I don't run into this issue.
For now I wored around this by rendering DNxHR 444 out of MC for that clip, taking that into resolve for transcoding into EXR. Then after VFX EXR render, bring the results into Resolve to transcode EXR back to DNxHR444 and then back to MC. That ended up seamless, but is two extra steps.
There must be something I'm overlooking in how MC handles EXR exports??? Is there a need for specific clip source settings? Maybe full vs. video levels?
Also I noticed that occassional EXR linking has hiccups. Occassionsly in the source browser after media processing one or more frames have 'cannot process' in the status and then they're missing.
PS: Ran into the same problem a few weeks ago on 2019.12. Now on 2020.4 with same issue.