The easiest way to align Corona Sun with the sun embedded in the HDRI environment is using the "Pick" mode of the Corona VFB. To specify the exact position of the sun in the sky, with the "Pick" button active, right click in the sky and select "Place sun/moon here". This way, you can place your Corona Sun exactly over the HDRI sun:
Other methods are explained below:
You can do this manually:
1. Display your HDRI background in the viewport ( Views > Viewport Configuration > Background tab > Use Environment Background or Use Files... )
2. Manually align the Sun object so that both the "compass" and "sun" objects overlap with the sun visible in the HDRI background
A more advanced method, permanently connecting Corona Sun with HDR bitmap, even when rotating, is described in the videos below:
(In the below examples, using Corona Renderer 4 Hotfix 1)
Wiring 3ds Max Bitmap with Corona Sun:
Wiring Corona Bitmap with Corona Sun: