I wasn't able to find a way to get the OE address book to export all folders when I wanted to switch. However, I can offer a couple of alternatives; you'll have to decide which works better for you:
1) Copy (or move) the contacts from the individual folders to the main folder for the identity, and then export to comma-delimited.
2) Open both Outlook and the OE Address Book, and drag the contacts from the OE Address Book to Outlook's Contacts folder. (You can select all contacts in a folder and drag them all at once.) The annoying thing about this is that Outlook creates a new entry window for each new contact, so you could easily get hundreds or thousands of windows created, each of which has to be closed with Alt+F4 or clicking on the Close button. (Or they'll all disappear if you close Outlook itself.)