I have the same problem, settings as in the attached screenshot do not solve it for me.
The EXR is a particular one, it was converted from an *.hdr file which made with a 20 year old plugin.
However in Photoshop everything looks fine.
If I choose an input lookup table in project settings the problem is gone, but so is HDR...
Attached are some screenshot crops that explain the problem.
- Resolve-EXR-highlight.png (462.33 KiB) Viewed 1610 times