According to my research, MSOGenerateExcelFile will not export the filtered grid data for either Property or Data Page sources. It apparently does so only when the source is a Report Definition, and then only if "Specify custom results page" is checked.
There are no OOTB options that affect this behavior, so unless you can use the above Report Definition option, you will not get filtered results in your exported Excel file.
Your requirement to export the filtered data is not currently supported. This is a requirement and not a bug. In your use case of using MSOGenerateExcelFile , there is no work around that would help us.
The filters are lost when exported because they are for temporary viewing.
An enhancement request, FDBK-30554 ,has been created for consideration by Pega Product Management.