Sorry for reviving an old topic. I was looking for a solution to this specific case as well. If anyone still needs this, here is my workaround:
In Affinity Designer, select the vector shapes you wish to export to Photoshop.
Go to File > Export, select PSD with the following options:
Preset: PSD (preserve editability)
Area: Selection Only (optional)
Click Export to save your PSD file.
Open the newly created PSD file in Photoshop.
You should be able to access the vector data in the layer's vector mask.
I was using Affinity Designer 1.10.4 and Adobe Photoshop CS4. This method isn't as fast as copy and paste, but if it works, I'll take it!
I hope this helps someone. :)
