In Color Managed mode, Fusion operates in the linear variant of your project timeline color space if I'm not mistaken. This somewhat makes sense for a closed VFX roundtrip inside Resolve but breaks for any other kind off application or workflow and you don't have any control over this.
People keep asking BMD to address this and proposed various solutions, but I don't think they have any clue how, or care enough. It's been like this from the moment it became part of Resolve and no progression since.
If the workflow suits your project you may want to consider using Fusion Standalone, or don't use project wide color management so you don't have to deal with this mess.
George Deierling wrote:PS. figured it out - when I use a Loader node to bring in the EXRs all is good. What doesn't work is dragging the exrs into the flow, that produces a MediaIn node which shows the wrong colors.
The difference between a Loader and MediaIn is that the loader will load the EXR as 'raw data' and the MediaIn in Color Managed mode will take the Input Color Space Transform that is set on the file in the Media Pool and convert it to the linear version of the project timeline color space. In your case it's likely that the EXR you created was in your linear timeline space resulting in the same image when loaded on a LD node because it's read as is. The MediaIn however is either tagged as Use Project which means the nonlinear space (DWG/Intermediate perhaps?) or something else and thus gets another conversion when placed inside ReFusion.