As far, as I know, this is a feature you can use to export query result to MS Excel without loading the results first to the grid. In case of a query that returns first rows fast, but has a lot of data, you can execute the query to the grid, to take a look at the first rows, and then use the export to Excel button, to have the whole query exported, without having to load it whole to the grid.
I've never uses that feature myself, so I'm just guessing, but I've seen threads on this forum, mentioning those scenarios.