There's nothing you're missing, the export functionality for segments just doesn't have the ability to export all data at this time, which is why I explicitly suggested the workaround of making a brand new list, adding your segment to that list, and then exporting the contacts in that segment-list to get the info you're needing. You don't need to keep that list after exporting, it's simply the workaround to make sure you're getting all info exported from a segmented group of contacts.
On the second part, you can have up to a maximum of 7 columns visible at a time. Please note that some columns aren't going to be available for sorting - such as custom fields, zip codes, or phone numbers. I strongly recommend following along with the article I linked earlier on this topic so you have a step-by-step guide, notes on certain nuances or tricks, and visual references regarding contact column modifying.
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