I am a huge fan of Corona. I love it and use it everyday for most of my work. I have told everyone who will listen to buy this render engine. I've taught classes on it, I've written for their blog. I am a fan.
That said - I have found volumetric stage lights to be a real struggle with Corona and have gone other routes to achieve this - this is after extensive testing and trial and error. I mostly render concerts and events, so beams of light are a huge part of my workflow. I ran into the same issues that you have raised and was never able to get an acceptable workflow going that I like.
Now, I do the base render in Corona, and I put the Corona lights exactly where I want them - usually making them visible and adding bloom and glare. This gives me the source light in the render and it lights the objects on stage in the correct way. I then switch over to Redshift and put a black texture over everything. I match up the redshift lights to the Corona lights (thank you PSR Reset) - and with RS I can dial in the beams on each individual light to taste. I then comp it all together in Photoshop. Worth noting - 99.9% of my work is stills, not animation, but you could do the same process for animation if needed.
I have also had great success just doing the beam overlays in Photoshop directly. It sounds like a lot of work, but I've written some pretty nice light cues in PS. I've used Video Co-pilots Optical Flares to create a series of flares, beams, and cones on a matte black background that I can screen into my layers in Photoshop and set up the lighting look manually. I prefer to render them out now, but I use both methods depending on the job and time of turnaround.
You can absolutely do this with the native C4D volumetric light system, but I have found other render engines to be faster and handle the lighting better. If you look at my website, you can see examples of both of these techniques in almost every performance render. Good luck!
Absolutely no disrespect meant to the Corona devs - like I said, I love this engine so much, but I don't think any one tool can do it all, even if it's your favorite one.
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