When I save an .exr out of Corona's VFB with render elements embedded into the file, the alpha channels and RGB mask elements are "off", as in all the information isn't there. Check out the attachments.
For instance, if I put the color picker on green in an RGB mask element, the G value is 191 and you can see some checker transparency in the black.
However when I save out the render elements individually, the images behave as expected. The color picker samples green as 255.
I'm saving these out of Corona 2.0 and opening them in Photoshop 19.1.6 with the EXR-io 1.03 plugin (to allow Photoshop to open embedded .exr files)