Note: Even if Photoshop/Lightroom did embed these in the RAW files, the problem of actually loading the embedded information would still be there for Affinity. So the point here isn't the file separation; the point is Affinity doesn't understand the postprocessing Photoshop has already done on the photo.
The feature has been requested a lot; see for example https://forum.affinity.serif.com/index.php?/topic/113871-use... and https://forum.affinity.serif.com/index.php?/topic/45772-can-...