I have beauty, denoise and an AO pass enabled and can see all at the Octane viewport. I pressed the multi layer EXR save button, but the exr contains the beauty pass only. What did I wrong? Do I need something for Photoshop CS4 to get it working? Is it a Octane bug?
No it's not octane BUG but Photoshop not reading MultiEXR nativelly, Check did Octane installed plugin for PS CS4 (not sure doe sit support that old version) in your plugins folder. OTOY provided "OtoyEXRFormat.8bi" which should be in your plugins folder if CS4 support that plugin at all (not sure).
Or you could go and install ProExr plugin (now it's free) - https://www.fnordware.com/ProEXR/