All I'm going to say is that it seems TG *does* do what you want. It's just not working for you for some reason, or you *think* it's not working. My guess is that due to the high dynamic range, and some relatively low height values, the EXR appeared black/dark. What did you open it with? If Photoshop, try adjusting Exposure. There are probably values in there. BUT, if you're not even seeing the Heightfield Generate bounding box (are you sure you don't have it turned off?), then maybe you're not even able to generate a heightfield from the right spot... In any case, the functionality is definitely there.
- Oshyan