(note: desktop Excel 2016)
There's an "Export" section in the awkward full-window UI that they replaced the File menu with, but instead of exporting it's just another way around to add extra clicks (File -> Export -> Change File Type -> CSV -> Save As) and get to the same "Save As" dialog that makes the CSV file take over your window as the active file after you "export" it.
You can also get to that via Save As -> Browse and pick CSV in the "save as type" dropdown, which behaves how you expect Save As to work (where that copy should stay active in the window afterward, as opposed to Export where it shouldn't). But this spot is also stupid because now have to go File -> Save As -> Browse because somebody at Microsoft wanted to insert an extra page where they could default your location to OneDrive and make you click Browse to get a normal file browser.
I saw an article yesterday about how Microsoft is moving toward "user-centric design" and removing ads from Skype, but how about doing that in the products anybody gives a shit about?