The raw values from the renderer will often go above 1. EXR is a high dynamic range format that stores these raw values, representing the amount of light in the scene. Although it appears to clip in Photoshop, the file has more information in it. EXRs are not really supposed to be displayed directly on the monitor like a photograph; it's better to use them as raw data, and to produce a final output that looks like a photo you would normally have to do some kind of tone mapping like a camera would.
Terragen has some tone mapping options that are enabled by default. The Render View in Terragen shows the image with tone mapping. Terragen's tone mapping options include contrast (an s-curve), gamma and a highlight rolloff that we call "soft clip". When saving an image to a low dynamic range format like TIFF (where values must be in the range 0..1), Terragen saves the tone mapped image exactly as you see it in the Render View. You can turn off all the tone mapping options in the render settings and you'll get something that should look very similar to the EXR, with clipped highlights in the viewer.
If you want to reproduce this with an EXR in Photoshop, I'd suggest importing it with a lower exposure so that highlights don't clip, and then using curves to brighten the image with a curve that doesn't harshly clip the highlights.
Matt