It is not supported at the moment.
It looks like the new Cebas-developed Max 2011 OpenEXR output plugin does not like our Render Elements for some reason.
We are still on Max 2010 and generally don’t use multi-channel OpenEXRs for various technical reasons, but it has been mentioned by other users already and we will investigate in the future…
+1 from me, this would be most useful.
Control of the ‘Cebas’ EXR options globally (ie: things like ensuring consistent compression settings) via Krakatoa would be nice.