When I stitch a panorama with Hugin from exposure stacks, should I create control points for each exposure or only for one exposure per stack?
I think it depends on how well-aligned the images in each stack are. If you used a tripod, and you're fairly certain there's no shift between member images in each stack, you can probably use Hugin's automatic stack-detection to link all the stack image positions, and just make control points for one member of each stack (typically the same exposure level).
If, however, you shot handheld and you're not sure each stack image is correctly aligned, then you're going to have to align each stack before aligning for pano stitching.
You also may not need to manually create all of the control points (or any), typically the Align... button on the Assistant tab will do that for you.
See also: the Hugin - Creating 360° enfused panoramas tutorial.