Welcome to the QuickBooks Community. Allow me to share some insight into how the export process works. There are limitations to the process, as some data cannot be transferred between the two versions. For a list of what won't be transferred, take a look at this article here: Export limitations - QuickBooks Online to QuickBooks Desktop.
Note: this article also offers steps on how to prepare for the migration.
Because QB Online needs to use DirectX to migrate data, the current method for exporting is the only one available. However, I have taken the time to submit feedback on your behalf to our team of Product Developers. This could be something changed in the future, as they use this feedback like this when considering ways to improve the program.
I see also you mentioned trying to export already. Just in case, here is the article for exporting from QB Online to QB Desktop: Export data file from QuickBooks Online to Desktop. I hope this helps to clear up the topic. Should you have additional questions about this or anything else QuickBooks, feel free to leave me a comment down below so I can get back to you. I'm always here to help.