If you like to export all downloaded episodes of one subscription at once, here is how to do that:
Following that, a new dialog window pops up and shows the progress of export process in order to let you know about the status, which is especially helpful when exporting large files or high numbers of files.
Another way of doing this is by using customizable keyboard shortcut. When you focus on that subscription in the Subscriptions Tab, at one key combination you can export all its downloaded episodes. To learn more, check the 'Keyboard Shortcuts for Focused Subscription' help topic.