Hello.

There is a difference. When creating new Forum group or Group in CMSDesk -> Tools, you are creating appropriate object, but no document yet. When creating blog, you need to create it as a new document of cms.blog document type in CMSDesk -> Content, and then it is available in CMSDesk -> Tools -> Blogs (but cannot be create here). So, the blogs are part of site documents, so they are exported as a part of All objects -> Web site -> Documents, in step 2 of export process. You can only select to not export blog comments, but not a blogs themselves.

Best Regards,
Radek Macalik