Aha!
Yep - I've just tried again. Using a file that I've had no problems with previously.
I rendered it until it was finished. Then tweaked and toggled the tone mapping settings in the corona tag of the Picture Viewer.
Then saved out as a layered 32bit psd.
The thumbnail preview shows the image, but the opened PSD has the 'background' image missing (see attached).
Using the Corona 3 full release, C4D 20, mac, latest version of Ps.