The values in the exported EXR are heights in metres. This is so that there is an unambiguous mapping between elevation and pixel values, without any messy conversion settings. Some values might be negative; others might be greater than 1. However, many EXR image viewers will treat a pixel value of 1 as "white", which is reasonable enough, but that means you won't see most of the information that is in the file, even when it is there. You can make this information visible by adjusting the levels (if editing in 32-bit) or by importing into your image editor with a much lower exposure setting.
Matt