Thanks for reporting this, however this is technically not a bug—potentially we could see this as a missing feature.
Chat messages are tied to Space members, which are tied to unique encryption keys for each user. When you export a space and import it into a new space, this new space has different encryption keys (and the space members are also different). Thus, we do not export chat objects and messages. They are inherently tied to the space itself.
What we could do is to export chat messages as text, but this would not be re-rendered into the new space as it was (due to aforementioned reasons).
Thanks for clarifying. It’d be good to explicitly mention during the export process that chats are not included so users don’t treat this as a full backup when it is not.