I just used that image as a good example. The problem occurs on images that aren't quite so overexposed as well. A big problem with this is shooting HDR. The overexposed file transfers all that magenta to the highlights in the merged image. So HDR is basically impossible.
The thing is that I can open the raw file in Canon DPP 4 and there is absolutely no magenta highlights when I decrease the exposure. So this is a Lightroom problem. I haven't tried it yet, but a possible solution for HDR would be to export the images from DPP as 16 bit TIFF, merge them with Photoshop and work with the 32bit TIFF in Lightroom. Has anyone tried that yet?