It took me a while to work through this solution and to resolve the problem I did the following:
1. Configured the datagrid autoload to false
2. In the XAML, configured domain datasource load size to maximum allowed. I have many datagrids in the particular application so the maximum load size varied according to size of the database tables.
3. Configured the Domain Datasource's maximum items in the Object Graph
<pre lang="xml"><behavior name="DomainService">
<serviceMetadata httpGetEnabled="true" />
<serviceDebug includeExceptionDetailInFaults="true" />
<dataContractSerializer maxItemsInObjectGraph="655360" />
</behavior>
4. Eliminated page size in the data pager
5. Enabled an apply filter button that nicely takes the user's input through a number of controls and populates the datagrids.
My export buttons works perfectly now and the user can save all of the rows in the items source in csv or excel.