If I color grade a r3d file in SpeedgradeOnSet and then export a .look, should I be able to apply that .look in FirstLight to the raw CFAVI master (created by R2CF) of that shot and achieve identical or close to identical color grading?

You will not get the same, as SGOS will likely develop the R3D using the camera settings, then correct for there. We find the camera settings too destructive and disable most of them and correct from a "rawer" image.

Makes sense. I thought I was experiencing something like that.

To use OnSet, make Express files or even DPX thumbnails using R2CF, fast color accurate proxies for the final CineForm elements.

Yes, I love using express files.

As a separate but related issue, .looks created in OnSet work perfectly in FirstLight with the exception of .looks that contain custom shaders which, when applied in FirstLight, give the image a pretty serious overall yellowgreen wash.

The custom shader I am attempting to use in fxBloom. I've tried this looks with this shader on a number of files with the same results. I have not yet tried other custom shaders to see if this one is unique in creating this problem.

We only support to 3D LUT part of the .look files, anything that can't be placed in the LUT will not transfer (most color corrections can.)

Makes perfect sense.