This command (export) is used to convert one format to another, not to combine soundfonts.
But I think the developer thought about it and came to the idea that all open soundfonts can be combined.
In the Export window, there are checkboxes for you to select next to the presets. It's nice as an idea but problematic in execution.
It would be exactly nice if the bank numbers of the presets with the same numbers were also incremented automatically.
MIDI program-change uses preset number 0-127. If both (or more) soundfonts open have more than this total presets, they cannot be saved to a single soundfont in this way.
To combine soundfonts, you can try selecting presets from one and copying them to the other. But since the preset numbers cannot be the same, you can try to increase the bank numbers.
Bank:Preset
000:000 Grand piano //from first soundfont
001:000 Grand Piano //from second soundfont
002:000 Grand Piano //from third soundfont
Just be careful: if there is an empty preset number, the software will put it there without prompting you. That's why it's good to be in control. So copy and paste one by one.