Could you provide some more details about your workflow with Affinity Photo? I've done some testing after reading your post, and by
1) Using the Develop Assistant to change Raw Output Format to "RGB (32bit HDR)" and Tone Curve to "Take No Action"
2) Pushing the Exposure slider 2 stops up on an already bright image, then switching from Develop Persona to Photo Persona
2) In the program preferences, setting the "32bit RGB Color Profile" to "ACES CG Linear"
3) Exporting as "OpenEXR 32-bit linear"
I was able to import the resulting .exr file into After Effects and recover all of the highlights from this intentionally overexposed image. Hard for me to know whether the file really is in ACEScg color space, but it is cool to get around Adobe Camera Raw's display referred process. I couldn't find an option for ACES AP0, though, just ACEScg AP1.
There is also (at least as of v1.5.2) a "New Batch Job" option that let me convert a folder of cr2's into exrs, but it is completely unclear as to what options are being applied to the process - the resulting exr has a different exposure and a loss of detail from the single exrs I made using 16-bit or 32-bit, tone curve or no curve. I wouldn't trust it without knowing more about what it's doing.