I see you're working in grayscale. Not all applications do full color management on grayscale - not even when they are supposedly color managed. The problem here is more likely with Preview.
To my knowledge, the only application that does proper color management on grayscale is Photoshop.
Try one of the standard spaces, sRGB or Adobe RGB preferably. ProPhoto is compressed in the shadows and will exaggerate the smallest inaccuracies in the shadow values (and not needed for B&W anyway).
Generally, all color managed applications should always display identically, regardless of profile (that's the whole point of color management). If they don't, it's usually because of a problem with the monitor profile.
But grayscale is a minefield because of poor color management support, and this is not all that surprising. I avoid grayscale whenever possible.