Affinity Beta is making waves i see. I had the same problem with alpha applied to every layer in exr file. I asked on the Affinity forum and it turns out that alpha is applied, if present. There is no option of saving it separately, like with OpenEXR or ArionFX plugin offers in Photoshop.
Turns out I've been saving my files wrongly for years, using RGBA, instead of RGB. But without it one must remember to add Alpha as render element.