In order to be able to save the file on your local PC, please follow the steps below:
When you are exporting a file, a dialog appears to select where the export file will be saved.
If you expand the Network option from the left side, Client\ C$ appears - this is your local PC's C drive.
To see those files, you need to create a separate folder before the export and save them there, else the files won't be visible.
If you want to export a file anywhere on your PC, you can copy it within the dialog window that appears when you are trying to save the export and paste it onto your local PC. Basically, you will pretend that you are exporting other files, but you use that dialog window to get whichever files you want and after that, you can cancel the export.
A download option will come soon for the File Manager application on Workspace.