I think I figured it out sorry :)

Why is this set to completed?

As far as I can see this feature has not been implemented by Telerik. All I can see here is a work around. 

Am I missing something?

I'm confused. This is marked completed for 3.0.0. Is an official updated added to the grid export to handle getting data for all pages (when all pages are requested) when server-side paging is being used or do we use the workaround in the linked feedback KB?

Here's my workaround for this. If somebody really needs a full example I'm sure I can whip up a quick razor page, or maybe Marin can take this and build a full example. But this should be enough for anybody to work off of.

First thing I do is get the datagrid's current state.  Then I build a DataSourceRequest off of that.  For the page size, I set it to the total number of records that exist.  I can then send that request off to the same service that I am using to populate the data grid.  I can then build my own excel document using the library of my choice, and I'm sure this can easily be done with Telerik Document Processing library.  I'm using SpreadSheetLight (https://spreadsheetlight.com/)

var state = this.dataGridRef.GetState();
DataSourceRequest req = new();
req.Filters = new List<IFilterDescriptor>(state.FilterDescriptors.OfType<IFilterDescriptor>());
req.Sorts = new List<SortDescriptor>(state.SortDescriptors);
req.PageSize = this.TotalRecords;

DataSourceResult dsr = await this.dataService.GetSomeData(req);
var dataToExport = dsr.Data as IEnumerable<SomeDataModel>();

// Build your excel export using the library of your choice
SLDocument excelDoc = new();
int row = 1;
foreach(var record in dataToExport)
{
    excelDoc.SetCellValue(row, 1, record.Value1);
    excelDoc.SetCellValue(row, 2, record.Value2);
    row++;
}

// You need to then convert the excel to a Base64String needed to download the file
// The SLDocument.SaveAs method accepts a stream as a destination so I'm writing to a memory stream instead of to a file

string b64ExportData;
using(MemoryStream outStream = new())
{
    excelDoc.SaveAs(outStream);
    var exportRaw = outStream.ToArray();
    b64ExportData = Convert.ToBase64String(exportRaw);
}

// Download the extract once you have the base 64 string. 
// I'm using this javascript function found here which I found here:
//  https://github.com/telerik/blazor-ui/blob/master/grid/pdf-export-server/ServerSideSample/wwwroot/saveFile.js 
await this.JSRuntine.InvokeVoidAsync("saveFile", b64ExportData, "application/vnd.openxmlformats-officedocument.spreadsheetml.sheet", "DataGridExport.xlsx");

 

Would be functional if this item is solved/implemented. Is there a workaround?

I agree, this would be really useful.

Also useful if you could set a MAX number of records, this could ensure the export is not too big.

Its a very useful feature. Request Telerik to work on it.