You got it - you would only use Picturenaut to load the image in one format, then save it in another, no processing required.
Picturenaut can assemble an HDR image form a series of photographs (from the "real" world) at different exposures, but that would be a different workflow entirely.
The exr output from Terragen is high dynamic range by default, you would never need to create a series of exposures to assemble an HDR image.
