Hi,@Howard Ching
Thanks for posting your question in the Microsoft Q&A forum.
You want to use the PowerShell command New-ComplianceSearchAction -Export to export the content search results to a specified location. Unfortunately, this is not possible.
I found a script to export to PST file, please refer to this link:https://techcommunity.microsoft.com/t5/microsoft-365/export-to-pst-via-powershell/m-p/95007
PowerShell cannot complete all functions. If you want to quickly export search results, it is recommended that you operate in the Microsoft Purview Compliance Portal.
https://learn.microsoft.com/en-us/purview/ediscovery-export-search-results?source=recommendations
If my answer is helpful to you, please mark it as the answer so that other users can refer to it. Thank you for your support and understanding.