You may follow these steps and give me your feedback if it is working properly or not as the answer will be according to what I understood from your question, However these steps may help you:
1-After you select the export format as "XLS", you will mark on "Activities" & "Activities Relationships" in the "Export Type" window and then Click next.
2-Choose the project you want to export, then Next.
3-Now the window you supposed to see is "Select Template" Window.
4-You will click on "Add" button
5-Click on the "Filter" tab as shown, then select the filter you want to apply or you can "Add" the filter as new filter if it is not shown in the filters menu.
6-Choose where you want to save your "XLS" file.
7-Click Finish and you will have your activities filtered as you wanted.
I tried this way many times and it is applicable for any filter needed, you may try this and give me your feedback so we can find another way to solve this problem if this didn't work.