Yes, there are more effective (and usually faster) options, depending on which grid you are using.
If you are using Data Grid 2, the built-in export is often the best choice. It is generally faster than the Excel Exporter module and naturally reflects the current UI state, such as sorting and visible columns, following a “what you see is what you get” approach.
If the requirement is very strict and the export must exactly match the UI, you can capture the grid state (visible columns and sorting) on the client side and pass it to a microflow, then apply the same logic server-side when generating the export. This scales much better for larger datasets.
If performance is the main concern, exporting to CSV instead of Excel is also a good alternative, as it is usually much faster for large amounts of data.
Hopefully, this helps you see alternative options. :)
Do you have indexes on your sortable fields? This can make a big improvement to retrieval speeds.
https://docs.mendix.com/refguide/indexes/
I hope this helps.