Hi Lei, welcome on aces-central.
• You indeed export a linear-ACEScg EXR (half 16 or full 32bit float) from Blender or any other DCC/renderer.
• Add an OCIO layer. You can find it at the same place where you have HSL, white balance, etc.
—↳ Set the “source color space” to “ACEScg” (applicable to other compositing software, in this case, Affinity, although I would not define it as a compositing software like Nuke or Fusion).
—↳ Set the “Destination Color Space” to “output_sRGB”.
Side note: I do not export 8bit integer images with Affinity Photo (only used it to export as EXR) and I do not use it much in my pipeline as it is not available on Linux. That said, from my past experience with it, I was not able to export an 8bit integer image file like JPG, hassle-free. The issue that I remember is that it exports with the native ICC profile baked on top of the OCIO ODT (output_sRGB). There are perhaps workarounds online (and some forum posts about it) but I did not bother myself as it is not part of my pipeline and I expect Serif to fix it in the future, or rather, ASAP as it is quite important.
I hope it helps.
Best.