Rendering to EXR produces linear HDR output in the ACEScg colour space. Just like RAW files from a digital camera, this is the data before any exposure or tone mapping has been applied. Unfortunately we haven't really come across a good image viewer that provides good exposure and tone mapping control.
The only way of getting HDR images out of Capture at the moment are on macOS when rendering movie snapshots. We hope to add support for rendering still images to HEIF/HEIC in the future.