Can you test in Photoshop with IO-Exr? If not, can you upload the CXR to the private uploader so we can take a look?
Can you confirm the workflow and process used to save the CXR - was it "render in the VFB and save to CXR from the VFB" or some other method? And can you share the settings for the Cryptomatte, and in the Render Elements dialog in general? Also which version of Max, and which version of Corona (please be specific there, e.g. Corona 8 Release Candidate 2 etc. as general comments such as "the most recent" doesn't confirm for sure which version it is, as there may be releases you didn't notice, etc.). Thanks!