For the Kinect V2 you can capture a recording via Kinect Studio and then when you play that recording back inside Kinect Studio, the Kinect TOP in TouchDesigner should automatically display the recorded video as if it was coming from the live camera.
As far as EXR sequences go, it generally comes down to the speed of your drive and the resolution of your image. You can also technically save the kinect stream using any of the formats in the Movie File Out TOP, but there will be tradeoffs in terms of depth accuracy and possible compression artifacts.