In answer to your question, as far as I understand, you do have to add text and buttons that trigger events to call code that uses the exporter control. In our application, we used the ASPxGridViewExporter and added a div tag with text and buttons (See below).
I am also currently in the process of adding a Pivot Grid and the ASPxPivotGridExporter. I reused the same div tag and buttons, but I put logic in the ExportResults method to check and see which grid is in use so that I use the correct exporter. The only problem is that something is happening that causes the pivot grid to lose all of its data right before the export takes place. It exports an empty pivot grid. So I am very interested in any solution that you have found or will find.
Alan
<div id="exportOptions_grid" class="exportOptions">
Export to:
<asp:LinkButton ID="lbtnExport_xls" runat="server" CssClass="button_enabled"
onclick="ExportResults">XLS</asp:LinkButton>
<asp:LinkButton ID="lbtnExport_pdf" runat="server" CssClass="button_enabled"
onclick="ExportResults">PDF</asp:LinkButton>
<asp:LinkButton ID="lbtnExport_csv" runat="server" CssClass="button_enabled"
onclick="ExportResults">CSV</asp:LinkButton>
<asp:LinkButton ID="lbtnExport_rtf" runat="server" CssClass="button_enabled"
onclick="ExportResults">RTF</asp:LinkButton>
</div>