How to fix that issue with borders in DaVinci working with layers with exr export from Unreal 5.2?

I used MRQ to render a simple scene in exr format, imported in DaVinci and used Fusion to combine layers, but encountered 2 challenges:

  1. I can’t see the layer with a sky
  2. Strange border around actors (screenshot below)

Mb you know how to address these issues?