1. How can i personalize grid at Work Item level per User level? - From this i am understanding that you want to save grid based on the work objects.That means based on the grid source which is not supported yet so not feasible.
2. How to export only applied columns as excel ? - Export column works on grid master metadata not on the personlized one so it feature also not supported.
3. Selected Page is not being personalized as it is always loading with page 1 when we navigate come back to the screen - Pagination is not part of the personalized grid thats why you are always redirected to page1. Also grid does not know about its source and how many number of the records it will have so storing the page number will create some technical issues.