Thing is: this depends on the grid you are connected to...
In SL, the policy is that you are forbidden to export things you are not the creator for, and there is no way for a third party to provide you with an asset (a texture, for example) with export permissions; this is why the export feature is extremely restrictive and you cannot export an object just because it is "full perm", in SL...
In OpenSim, the convention was that "full perm" objects can be exported, and later on a new "export" permission flag was added, that can be checked against for each asset making up an object, meaning the export feature is more relaxed.
The viewer attempts to export things it is permitted to, and warns you when not everything (or nothing) got exported.
Granted, the message is a generic one, but keep in mind that the Cool VL Viewer is designed for advanced/power users, so this kind of message should be more than adequate for the audience (as long as they got enough caffeine).
If you want to come up with a contribution/patch for a more detailed message, then be my guest, but I am busy with more important matters (PBR, WebRTC, etc), so do not count on me to spend time on this "tiny detail"...