Well, the main aim of CXR is to use LightMix, Denoising etc. in post, in the CIE. So, the images have to be 32 bit HDR, which is why each layer is an "exr" too. Also, there are a lot of other layers stored so that Corona can work its magic in the CIE (rename the CXR to EXR and open it in Photoshop to see). With those being the purpose of the CXR, I don't think there's a way to avoid it being a large file.