Thank you everyone. So just to recap.
It is not possible to export email to PST in M365 Exchange (cloud based) as stated in https://learn.microsoft.com/en-us/Exchange/recipients/mailbox-import-and-export/export-procedures?view=exchserver-2019#:~:text=Use%20the%20EAC%20to%20create%20a%20mailbox%20export,file.%20When%20you%27re%20finished%2C%20click%20Next.%20See%20More but can if we have Exchange 2019 for example, through the classic Exchange area.
It can be done using the process described for eDiscovery https://learn.microsoft.com/en-us/microsoft-365/compliance/export-search-results?view=o365-worldwide or https://www.codetwo.com/admins-blog/how-to-export-office-365-mailboxes-to-pst-using-ediscovery/, which requires eDiscovery Manager rights, which apparently requires the Organization Management permission to be able to see the permissions option in the EAC to be able to give someone those permissions?
I can import the PST created using eDiscovery using the steps provided by @Yuki Sun-MSFT above for https://learn.microsoft.com/en-us/microsoft-365/compliance/use-network-upload-to-import-pst-files?view=o365-worldwide to move them back to individual users mailboxes, but I would need to have the Mail Recipients role or have Organization Management or Recipient Management roles.