Thank you so much for bringing this up, this is something we are tracking as a feature request and I've also opened this post for voting. Please continue to provide feedback!
I would love to see the following enhancements to make exporting contacts much faster and easier:
1) Having an export option from the contacts list page, allowing you to check the box for the list you want and export, rather than have to click on the list and select all contacts in it first.
2) Automatically including the list name in the filename of the export file when downloading.
Our Feedback board is changing! From updated statuses to clearer processes, we're working to improve the conversation between you and our Product teams