Flatten
I tried converting to 16bit and keeping the layers separate, but it does affect the colours, they don't match the control image rendered from Nuke.
There may be around this that I don't know of, or it's just not possible :-)
At the moment it seems a reasonable workflow to do any operation that requires blending of the elements before flattening, you'll mostly need exposure, levels opcacity blending, desaturation using the depth pass (as you mentioned) and final tweaks using any favorite filters etc after a flatten to 16bit.
I think it may be something to do with the fact that conversion to 16 bit clamps the image (as shown in the tutorial) -it's now a 16 bit integer format rather than being 16 bit float - so the addition of those values are changed