Not sure what you mean by "3ds Max native render save option" - thinking you may mean save from within the Max VFB?
Anyway, if you save from the Corona VFB (or click and hold Save to open up the Save All if saving multiple passes at once) you will should be getting the expected results (see image attached of the Corona VFB toolbar) and same if saving from a "Save File" setting in the Render Output section in the Common tag under Render Setup dialog.
I did find in Fusion 8 on loading an EXR saved from Corona I had to reapply Gamma 2.2 (in a Brightness / Contrast node) to get the same results as the render, though Photoshop displayed it as expected, but I am no Fusion expert so may have just had a wrong setting on the Loader node :) Just in case it is the application you are opening it in that is making a difference, too.