What build are you rendering with?
I just tried with a newer test build and works fine here.
I save the Z AOV to EXR and load in post editor and crank down exposure and all my assets shows correctly in the Z layer.
Yes, I wasted all day, I thought it was my rig (originally used with Mental ray) causing the problem. Only to accidentally hit render when I opened a new scene in Maya, and here the render was set to use default CPU, and the Z depth rendered just fine with the same objects. Also with Beta GPU it does render sometimes one object for Z depth at exposure 0, but when you move the exposure a bit you can see that it reads other objects too, but it just looks like an alpha map and no depth detail, just plane white.
Confirmed, busted.
I actually made the CPU mistake and probed on that one.
I can totally reproduce the Z AOV here actually returns nothing at all.
We can for the mean time just generate a manual one with a volume shader, it renders virtually instantly with OptiX enabled.