Krita's export function does not remember customized file format settings. For example, the default JPEG quality is 80. It's too low for me so I always change it to 90. Krita doesn't remember that, so I have to change this parameter every time when I export a new file. On the other hand, Save function can remember customized setting. So as a workaround, I first save to a format with customized settings, then export without the hassle in the future. Since the formats we export to (JPEG/PNG) are usually not the ones we want to save to (KRA), a user might not learn this but simply think Krita not being able to remember export settings. It'd be helpful for Krita to remember customized export settings.
*** Bug 411529 has been marked as a duplicate of this bug. ***
It seems like it was a temporary bug or something, because it works even in Krita 4.0.4, and for sure works on master on 6e3a7c7910.