Often it would be more feasible to only export specific messages out of a search result rather than the entire result set.
At present there is no way to select individual messages to be exported via the Search Exporter however it is possible to copy individual messages to a Virtual Mailbox in Archive Manager. By copying individual messages from the search result set to a Virtual Mailbox and exporting that mailbox you can effectively achieve the same thing just with an extra step.
Enhancement Request #103424 has been created to provide the ability to select individual messages from a search result to export.