Hi Sergio,
I'd use an .exr for the World, it's smaller in file size than a .hdr and has more info (and is, as far as I know also smaller) than a.png.
The difference in lighting should not be noticeable. Here is a comparison between a .hdr and a .exr:

So, don't worry if things look a bit different, just make it look good. And the difference that you get is probably not caused by the file format of your Environm,ent Texture.
I had no idea an exr could be smaller than a png. This is a good video explaining why once you are at 16bit. https://youtu.be/NxzMAYckaV4?si=gZNWZwZtX4fHLEul
Very good video
thehomme.
Omar, thanks. The only thing, I am very interested in learning how to create materials from scratch (probably because I'm crazy). I believe this system is very difficult. If you are new to this, all this node system for creating materials is very confusing and not very natural or at least for me. Following the tutorial to a T is very important to me so I can understand what every setting and node does to the final finish. At the moment my Shade Editor looks like a spaghetti bolognese and I struggle to see mayor differences for some of the adjustments I make.
Anyway, really enjoying the tutorial, and this is where I want to progress. Thanks for all your answers.