So basically what they're saying is that you can use the exr output to get several exposures from one render and combine them to a hdri image that is to your liking.
But you don't have to use a time consuming method (though you probably do it very easily), since all the info is allreasy in teh exr, so if you tweak the single image in a program like PhotoMatix (or even PhotoShop), you might get the same results, or even better.
One difference I noticed was when increasing exposure settings in photoshop. A normal bmp output of a transparent blue rock on a black background will have the black background go gray when increasing the settings. The exr however kept the background black, while the internals of the rock showed up really good.
If you want, you should really try it out, but you can still use your 'old' method if that works for you.