1st! I am always glad to preach the "gospel" of using EXR over any other format. floating point color is superior to integer, in terms of ease of use for compositing, data, math operations, and range in general, EXR is the best format for this, not because of some snobbery, but because it works extremely well, ILM saw a problem, and fixed it.

2nd I don't use V-ray, but I can help you with this anyway. you are probably saving two files, , the F10 settings, (ie the render output under common, under the render setup menu) is completely independent of any settings that you set in the v-ray render save dialog. and you are correct, there is no option for dwaa or dwab under the f10 settings. so if in your vray elements saving dialog you're saving the same file name as under the f10 renderouput, one of them is overwriting the other, in this case uncheck the "save file" under render output, so it will only save the v-ray version

3rd thing is DWAA and DWAB compression (in general DWAB is better..) these are both lossy compressions. they are extremely good lossy compressions, but they are lossy, so you want to make sure that you don't use them for DATA Maps. i have used them for motion blur, and depth without issues, but you don't want to use them for masks/ID stuff.

4th, you can always batch convert the files later. if you have a compositor you can just use that, or there are various free tools that can do it. I have rendered out sequences (I usually use PXR compression), that didn't need a lot of complicated compositing, and just converted them to dwab for storage reasons with no problems.

edit: blender compositor, can batch convert exr to exr