Hi,
Same situation here but with Redshift and Cinema 4D. Looks like Affinity Photo doesn't read alphas and masks properly when importing from external software.
In my case, I'm extracting some alphas from an EXR. Photoshop perfoms really nice, but Affinity Photo creates some kind of halo expanding the masks. As MBLV said, there shouldn't be any hoops to jump through or a bunch of tricks to apply for this, it should be easy for Affinity as it is for other softwares.
I have attached an image to show you how the same file looks in Affinity and Photoshop. Looks like this is a bug, hopefully it's solved soon.