When you save as EXR you are bypassing the color transforms set in the color management section.

EXRs are scene referred linear data, not intended for display, but for further processing (they can be displayed correctly through color transforms).

If you set the display transform to sRGB and save as PNGs, then the values of the image are not linear anymore but are re-scaled and transformed to fit within the bounds of "display referred" imagery. A curve (sometimes called "gamma") is applied to the values, hence the difference you report.

To get a better idea of any of this read:

https://blender.stackexchange.com/questions/46825

Also when you are using a "RAW" color transform you are not applying a curve to the output image. Any value larger than 1 will be clipped in any display referred format.