Not that I'm aware of. The dataset export only does multiline JSON at the moment.
You could create a dataflow, source it with your MC source and use a DB table as a destination, then export that DB table. In recent product versions you can also have a file dataset as a destination but that will create a file on the server that you then still need to transfer to your local system.
Have you tried using a file repository data set as the destination? You can choose the CSV parser and configure a suitable repository and filepath. The data will be exported into the file in CSV format. The file will be available in the specified location in the repository.
To add to Girish's post, you would need to write a dataflow with MC as source dataset and file data set as destination. Also, what is your Pega version? file data set is relatively new. Some old versions may need hotfixes to have the feature available.