You must be thinking of the case of a connection getting broken (closing abnormally), rather than having been intentionally closed. If the selected connection was previously open in the session but has been closed normally, or never open, then the Database Export Wizard will attempt to open it. Only if the selected connection was previously open but somehow has closed abnormally (and never Reconnected) will the Wizard proceed without further verification.
Whether this is a bug or intended behavior is open to question. In a Worksheet, for example, on a broken connection, Run Statement produces a Connection Closed message, but Run Script does not. If the Export behavior is a bug, then Run Script behavior should also be classified as a bug, etc.