Hello Italo and welcome !
I guess your issue is not with the exr file itself but with the way you view/display it.
When you save an png file, you probably burn the ODT in it (display-referred values). On the opposite, when you save an exr file, values are written as scene-referred. The bottom exr file seems to be displayed with a simple sRGB transfer function instead of an ACES ODT).
So when you import an exr file into Photoshop or After effects, you need to display under the same conditions than in Arnold. Issue is there is no (official) OCIO integration in those softwares.
You have a couple of solutions though :
- You could use a non-commercial version of Nuke (which is free to download).
- Or try the OCIO plugins for After effects and Photoshop.
We discussed in a previous thread about After Effects :
And here is a tutorial for Photoshop :
Hope this helps,
Chris