When exporting items from AGS, it doesn't auto rename the filename. So you have to type the file name yourself. In addition, once the export is saved, AGS doesn't remember the last path you saved from its editor, and so on the next export it takes you to the current folder of the game's you're working on. I suppose that this scenario is the same in other places in the editor where the operating system file browser is involved. It should remember where you last been.
What "items" are you referring to here? In AGS 4.0 a lot more project assets are stored as files in folders, so there is less need to export things.
I honestly haven't digged too much into AGS 4.0 so I'm not sure what's going on there. But for example GUI(s) or scripts that you wish to export. I found that there's no way to say 'duplicate' a GUI if you have it all set up correctly and you want to make another one just the same and to tweak it, or maybe to use it in another game. So I export the GUI and then import it.