Datagrid 2 doesn't have this function yet as far as I know.
But the workaround you could use is to save the filter values to a Filter helper entity. When you hit export, you can use that information to filter the retrieved list.
It would be wise to not save that entity to database, so it just uses the most current filter setup.
Think that could work for you?
Thinking out loud but here's an idea of a solution i'm going to check out :
I'm just checking whether it can handle the more in-depth search functions like equals to, not equals to, greater than, less than etc…