After a deep investigation, I have confirm with BC PG that this behavior is expected system behavior, however this current system limitation is having a big impact on our customers, when exporting page/lists from Business Central.
It will be beneficial if we can make it possible to edit in Excel in another time zone than UTC, based on the clock on the local computer or the one in Business Central (as they may be different).
Under Review
Ideas Administrator

Thank you for your feedback. We are considering adding it to our longer term roadmap.

Your help is greatly appreciated,
Mike Borg Cardona
Program Manager, Microsoft