A cloud-based service included in Microsoft 365, delivering scalable messaging and collaboration features with simplified management and automatic updates.
You cannot directly export to PST, so you have to use eDiscovery/Content search indeed. Once the search is complete and the export action done, you can use the method outlined here: https://techcommunity.microsoft.com/t5/microsoft-365/export-to-pst-via-powershell/m-p/193934/highlight/true#M14407
Do note that this is not an officially supported solution, so use at your own risk.