How do I align Corona Sun with my HDR background?

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: