Outlook 2021 export question

[dswood1]

I recently went from 2010 Office to 2021, so just had a big jump. I used to export emails from outlook no problem. The process appears to be about the same, but my 2021 version is tied to MS Exchange, so when I click on one my email folders, it shows the local emails, but it says "click here to view more on Microsoft exchange". When I clock, they appear, but when I export them, only the local emails are included in the export.

I am hoping there is a way to do a proper export of all the emails combined in any particular folder, but if not, how to I do a separate export to include the ones that are in the exchange??

Many thanks