I'm using Corona 9 (Evergreen). And that's the exact tutorial I tried following. As mentioned previously, I have tried saving in .EXR/.CXR, changing extension after saving the file, checking/unchecking various options when opening with EXR-IO in Photoshop and all the other iterations of this tutorial with no success.
I understand that other compositing software is better in how it deals with color, grading, etc. but our team is using mostly Photoshop so it's just more convenient at the moment...