Ok, so I followed that post, and what worked was just importing a single frame of an .exr. Now if I am importing it as an .exr sequence, it doesn't read the display, just the assemble.
I'm guessing this is something that After Effects just is incapable of doing.
If you read the last paragraph of my post on the other thread, you'll see that the way to deal with a sequence that has a changing dataWindow (the displayWindow should stay the same) is to import all the files not as a sequence but as individual files. Then select them all in AE and run the ProEXR Comp Creator with option/alt held down. This will create a displayWindow comp with all the frames lined up inside and placed appropriately.
Yes, it's kind of a hack, but AE doesn't have the dual notion of displayWindow and dataWindow, so this is as close as we can get. It might be easier to turn off dataWindow cropping in your renderer if that's possible.