Open CIE
Load CXR
Apply, Denoise, Apply Tone Mapping, and Add Bloom and Glare.
Save as "Regular EXR"
Open Photoshop
Select EXR
Load alpha as Alpha Channel
The exr is saving the post processing info, I just thought it wasn't previously because the scene just looked different, which looks like its cause by the Background HDRI issue.
I did end up doing a blank render in Max and saving a PNG with Alpha unchecked. Now PNGs match CIE image exactly, however for some odd reason the next render I tried, the png saving settings were randomly change. So I had to save another blank PNG in Max again.
I tried loading the EXR i saved from CIE, back into CIE and the background is still dark. However I loaded the EXR into Max as a bitmap, and it correct.