Hi mpls,
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To do redirection of exported data from the Azure Virtual Desktop (AVD) app to the local Excel application try this below steps
First Enable Drive Redirection in the Remote Desktop Client and Configure AVD Session Host for File Redirection. On the AVD session host Modify the App's Export Path to Use Redirected Drives.
See that files are associated with excel on user local machine and
For detailed information, please check https://learn.microsoft.com/en-us/azure/virtual-desktop/client-device-redirection-intune
https://learn.microsoft.com/en-us/azure/virtual-desktop/redirection-remote-desktop-protocol
This provides detailed instructions on redirecting various types of storage drives from a local device to a remote session over the Remote Desktop Protocol https://learn.microsoft.com/en-us/azure/virtual-desktop/redirection-configure-drives-storage?tabs=intune&pivots=azure-virtual-desktop
If you have any further queries, please do let us know.