Web sites can't directly export files to a web browser; the browser must first make a request, and then the server responds to the request by sending some content. That is how (almost) everything on the web works, whether the content being served is web pages (HTML, CSS, etc.) or other content (like a file the server created for you).
This all matters because, for every request, it's the BROWSER that decides whether the request is sent over HTTP or HTTPS. The server has no actual say in this. The server can decide that the only thing it will do for HTTP requests is send a response that amounts to "try again, but over HTTPS" - this is probably what you mean by "set it up so that HTTP is redirected to HTTPS" - but if the request came in over HTTP, the response will go back the same way.
If you want to test, that's pretty easy. Open a web browser's developer tools (for most browsers, you can do this by right-clicking on any page and selecting "Inspect") and go to the Network tab. Go to your site and download the exported file. Look in the logged data in the dev tools (warning: there may be a lot of it) and see whether the request that made the server send the file went over HTTP or HTTPS. Whichever one the browser used, that's what the server used.