Hi,
The post processing/Tone mapping is applied to all render elements.
If you adjust any render element with the tone mapping and then save it out in any format, including .exr, you should see the same result as in Corona Frame buffer.
To do this you can click "Save" in the VFB and pick .exr for each render element, or you can click and hold on "Save", pick "Save all" and set a base name and a format. This will save everything out with applied tone mapping, same as in Corona VFB.
Do you have some custom color profile applied in Photoshop?
Are the tone mapping settings completely ignored/missing when saved out to .exr from VFB (set high contrast and/or saturation, save, then check the difference), or the loaded image in Photoshop looks different (not necessarily missing the tone mapping settings) than in VFB?
Sharing screenshot and being more specific with the reports is always better and welcome.