I think there is something not entirely correct about how this works.
In v17 I don't get a Shadow Buffer option with EXR. I do with v16.
When you do a render with Shadow Buffer ON, you need to have a shadow catcher in the chor, typically the ground set to Shadows only.
The shadow information will show up in the alpha buffer of what appears to be a black image. Possibly incorrectly this gets named "Alpha buffer"
OpenEXR also creates a shadow buffer when it has light buffers, but this shadow buffer is only the shadow that is visible to the camera, not the complete shadow that a shadow catcher can render.
If you are doing something that uses shadow buffers you probably need to do three passes.
-the object casting the shadow
-the shadow
-the ground
then you would have three separate elements that can be properly composited in a compositing program.