*** Is there a way to render several frames and save them all as CXR ?
Not at present, not automatically. You'd have to render, and save to CXR from the VFB, then do the next render. Since the CXR format isn't in the C4D save dialog, you can't set up a way that I can think of to render and save to that format automatically.
*** Also, When rendering several frames, I don't see any way\option to select a previous render in the VFB history and change some of it's attributes directly in the VFB
Any changes to tonemapping, post processing etc. will be applied when you save from the VFB history - so you could left click on the history to make it the "A" and bring it into visibility, adjust the tone mapping so you can see how it looks for that history version, and then use the disk icon "Save selected element of this snapshot to disk" below the image in history to save it (to a non-CXR format).
EDIT - as a note, for development of the Corona core we are looking at ways of having images with different post processing saved to the history; that is, the history would save the tone mapping for it too, to allow the same render with different post processing to be compared, which is not currently possible since the current tone mapping is applied to all history elements. So in the future, this last situation would change, but this would work for now :)