Here are some guidelines for setting up realistic lighting in color-managed scenes.
For realistic results, it is recommended that the Decay Rate of scene lights be set to Quadratic to mimic the behavior of light in the real world. Although this setting can make it difficult to find a balance between highlights and shadows when you are not using color management, it is not a problem when rendering in a scene-linear color space. However, you may need to adjust the lights' Intensity depending on the scale to which the scene was modeled as well as the distance to the lights.
In addition, it is recommended not to use any ambient lighting in the scene. Instead, it is better to use another form of indirect lighting, such as ambient occlusion or global illumination.
When using the mental ray Physical Sun and Sky shader set-up to light your scene, you should not use a tone-mapping shader such as the mia_exposure_simple node. To compensate for the high amount of light, you may need to reduce the Multiplier attribute of the mia_physicalsky node to a value such as 0.2. In this way, all of the tone-mapping is performed by the view transform for display, and the rendered output contains the raw values (unless you use an output transform).
If you choose to use the mia_exposure_simple node anyway, you should set its Gamma attribute to 1.0. Otherwise, any gamma of the view transform gets applied on top of the gamma that has already been applied by the shader, resulting in washed-out colors.
When using image-based lighting with mental ray, make sure that the Color Space specified in the mentalrayIblShape node's attributes corresponds to the correct value for the image file that you are using. Raw usually works for the type of image files commonly used for IBL. However, it is best to specify the exact color space used so that colors get properly converted to the rendering space if it is different from the file's space. See Add color-managed textures and other image inputs.