I found another way to export to excel and change the name. Not the best way but it works.
1) Create a new microflow on your grid (in the settings: Pass data grid object -> Select All Pages)
In your Microflow
2) Create a new FileDocument
3) Then - Generate Document as HTML -> in your Document Template create the same grid
4) Then - Change NewFileDocument Name -> 'YourDocName.xls'
5) Download File Activity
That worked for me.
If you go to the location where you installed Mendix (like Program Files (x86)/Mendix/4.4.4/runtime/javadoc you can find the java documentation of Mendix. There you can find the info about the Class ExportManagerModule.
In the GenerateXLS one can specify the filename. The explenation from Jonathan looks clear to me. I think with a little java knowledge you would be able to create your own java action that handles the export.