The Import/Export Functionality had to be rewritten, so currently there is only an import feature. The Export will be added at a later date. Im sure once the Outlook for Mac goes Public when thew new Office for Mac suite is released...
If you have the "On My Mac" folder, you can just drag them from your Office 365 Mailbox to that mailbox.
another work around will be to launch Outlook from a windows machine and do it from there.