After some month that I change my workflow from 3ds Max to Blender and hours of research I have found a solution that work for my workflow.
I work with this Color Management settings:
Display Device: ACES
View Transform: sRGB
Exposure: this parameter can be change if you use Photographer add-on because that change the exposure like on a real DSLR camera.
Sequencer: ACES - ACEScg
In Affinity Photo
Open the exr
Go to 32-bit Preview
Make sure that you have Display transform on ICC Display Transform, Exposure = 0, Gamma = 1
Select top layer
Add Exposure Adjustment in case you have chance Exposure in Blender - Color Managmente settings
Add OCIO Adjustment: Source: ACES - ACEScg; Destination: Output - sRGB
Add OCIO Adjustment: Source: Utility - Curve -sRGB; Destination: ACES - ACES 2065-1
Here my afmacros.
Let me know if that solution helps someone.
Blender - ACES Adjustments.zip