Thank you for writing.
The VirtualGrid does not load the entire data, it only requests the data that should be currently visible. This is why this control does not have any exporting functionality.
There is no need to use UI control just to create and export CSV file. You can use our RadSpreadStreamProcessing library to create such files, however, you will need to iterate all rows in your data source. Detailed information is available here: RadSpreadStreamProcessing
I hope this information is useful. Let me know if you need further assistance.
Telerik by Progress