Where are these color management settings located in PS so that I can check. From what I have gathered I would want it is ProPhoto color space, as that is what Lr uses, correct? What else should I ensure settings-wise?
Edit menu, Color Settings menu choice.
If you've never accessed that menu, then it is probably set to sRGB and your image is being converted to sRGB from LR. To maintain a match, PS RGB: working space needs to be set to ProPhoto.
It also depends on how the Color Management policies are set up. if you have RGB: set to Preserve embedded profiles then the image should be fine even if sRGB is the default working space. If it set to convert, and your profile mismatch boxes are turned off, then it is getting converted to sRGB when it comes into PS from LR.