If you've been keeping your After Effects up to date you're already running ProEXR 2.6, which adds some performance optimizations to the AE plug-ins. Standard scanline multi-channel EXR files receive a modest speed improvement, while tiled EXRs will read about 3x faster in this version. And if you have a multi-part EXR file, the individual parts are now read on-demand for faster previews and more efficient rendering.
These optimizations were made possible by Harsh Patil from Apple's Pro Workflow Team, who analyzed the OpenEXR plug-in's performance when loading some real-world EXR sequences from various renderers. I warned him that Windows users were going to benefit from his optimizations as much as Mac, and he said Apple was fine with that! Thanks, Harsh!