You can export the SfDataGrid with current style by getting the style using FindResource method and assign the style to CellStyle in ExportingHandler.
XAML: Apply the style to SfDataGrid
Note: It is not possible export the styles which are applied conditionally based on data.
C#: Getting the style properties values using FindResource method.
C#: Assign style property values from above code in ExportingHandler.
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