TY for the videos!
CXRs you can open in the Corona Image Editor, or use to Resume Render, or rename to EXR to open them in other applications. As noted this is the Corona specific version of EXRs, for Corona to use (CIE, Resume Render), so only Corona can open them.
For the rla, I definitely don't get that on Windows. What happens if you uncheck save alpha, as I am not sure EXRs use alpha so it could be it saves an extra file for the alpha and for reasons known only to C4D it picks rla (the save dialog here is C4Ds save dialog, invoked from Corona, so anything it does is in fact C4D at work, as I understand it, and not Corona specific). What happens if you save from the C4D picture viewer, the same thing, or something different? Also, what happens if you pick something that is not EXR and does support alpha, like PNG? Does it still create an rla?
As noted too, the rla is nothing to do with Corona either, it's a wavefront file, so very old and never ever used by Corona to save, load, or anything else, now or at any point in the past :)