The ExportAllData will not work if VirtualLoadMode is set to Custom or LargeData. For such scenario, you might want to try this approach: re-creating the table that will be exported by utilizing OnExport server-side event of WebGrid.

WebGrid has OnExport server-side event which allows you to use your own exporting codes or module to handle exporting functionality.

I managed to export all data by modifying WebGridRowCollection such as shown in the following snippet code (please note that following snippet code works for WebGrid's data binding performed at OnInitializeDataSource event):

protected void WebGrid1_Export1(object sender, ExportEventArgs e)
{
    e.Table.Rows.Clear();

    DataRowCollection rows = (e.DataSource as System.Data.DataView).ToTable().Rows;

    foreach (DataRow row in rows)
    {
        var wgRow = e.Table.CreateRow();

        foreach (WebGridColumn col in e.Table.Columns)
        {
            if (!col.IsRowChecker)
            {
                wgRow.Cells.GetNamedItem(col.Name).Value = row[col.DataMember];
                wgRow.Cells.GetNamedItem(col.Name).Text = wgRow.Cells.GetNamedItem(col.Name).Value.ToString();
            }
        }

        e.Table.Rows.Add(wgRow);
    }
}

Please give it a spin and let us know how it works in your end.