For me, following the steps of disable saving the render, rendering in the VFB, then using the Save option from the VFB and choosing OpenEXR, the Normal file is in fact not saving properly (I am getting the CMasking_ID.RGB result showing in the RGB result where the Beauty should be), but the results from the Broken Max file works properly.
Deleting and re-adding the two masks to the NormalFile version then saves properly, so something seems corrupted in the initial set up (even if it is apparently working for you) - what happens if you delete and re-add the passes before adding the ZDepth? Was the normal file created in an earlier version of Corona? Does saving from the VFB rather than using the Save File option make a difference for you?
(as a note also, I am loading the EXR into Photoshop using the free Exr-IO plugin since Photoshop on its own is very bad at handling EXR files)