Yes you can save as EXR for Displacement.
Here is a series of videos. Start at number #14. Number #18 is Texture baking to the paint room.
He will be baking for a normal map but in the same bake tool panel is for displacement call Microvertex.
Millions of polygon is internally what 3DC is going to use to create the displacement map. Multiply the texture width by the texture height to get the minimum number of polygons needed to create the displacement map.
2k x 2k map would equal 4 million polygons, I had left mine at 8 million, forgot to change it. Setting it higher than the minimun, I do not know if it makes a difference. If in doubt setting it higher does not seem to effect the bake.
Display mesh resolution-- 3DC will auto decide the subdivision level for the bake. You can choose other sizes but you should subdivide the model for displacement creation. You can still export the low polygon model from the paint room.
You can smooth your uvs if needed as well..
Side Note. There is a new way of locally adjusting the projection cage. Press reset in the baking baking scan tool panel if the cage seems push out locally in some areas that do not line up with your mesh. 3DC remembers from the last scene the baking scan settings... Now adjust for your projection cage. You can paint local adjustments for the projection cage if you need to... The old method was placement of spheres was hard to work with. Andrew changed the method a few betas ago. He does listen to the user base as we had been asking for a better method for locally adjusting parts of the projection cage.
Side Note 2: Displacement maps require a good uv seam layout. If you get artifacts check your uv seam layout... In the paint room you can hold down the shift key plus "w" to show the seam layout in the paint room. If your artifacts lie on the uv seams, then you know for sure the reason for the artifacts in that area.