Unfortunately there's no similar button for this for the datagrid 2. I managed to do this quite easily in one of my projects using the Excel Exporter widget from the app store and some custom logic.
https://docs.mendix.com/appstore/modules/excel-exporter/
The Export to Excel / CSV functionality for datagrid 2 is on the roadmap to be released later this year.
For now the Excel Exporter module seems to be the best option indeed..