Hi Mike,
A mailbox export request is a process of exporting mailbox or archive data to a .pst file. You can create more than one mailbox export request per mailbox, and each request must have a unique name. However, You can't use the Exchange Management Console (EMC) to create a mailbox export request. You must use the Exchange Management Shell. For more information you can refer to Create a Mailbox Export Request .
Moreover, you can also refer to the Use Windows PowerShell in Exchange Online for the configuration of cmdlets for Administration of Exchange Online first.
Best Regards,
Pratik Pandya