have you tried creating the EXR with adobe only products? I feel fusion is the wildcard here. At least you’d be able to isolate the variable of EXR render output with assigned profiles.
I made an EXR from AE 32bpc and its luma matches, although the active window will be a little off so the pixels will be shifted a little bit. In Resolve, settings for levels should be set to auto so you don’t export video levels(which might be your issue hiding in fusion)
There is also the free AE plugin opencolorio used by ACES for color management as well if you want to get complicated with ACES workflow in AE.