Mats Linder , Marie-Pierre Lavoie 
The fact that only Export is available may mean that the file has been already finalized. Click that file and see if the Revert to SDLXLIFF icon turns active. If so, the file is finalized. And if you want to finalize all project files, you can go to the Projects view, click the project and run Finalize from the Batch Tasks menu. This would finalize all the files within that project.
If you want to finalize selected files, then just click the files that are not finalized yet (the Revert to SDLXLIFF icon greyed-out) with Ctrl key kept down and run Finalize from the Batch Tasks menu.
Btw, why do you need to finalize your projects? I can't remember that I ever did it. 

Unfortunately there is no way to distinguish between the finalized and unfinalized files (or I am not aware of that) other than by referring to the Revert to SDLXLIFF icon status. 
I have described how to finalize all files in one go above (run Finalize against the project). To unfinalize all you can select all files (Ctrl+A) and click Revert to SDLXLIFF. However, you would not be able to do that when you have both finalized and unfinalized files in your project. In this case, you have to finalize all first, and only then use Ctrl+A to unfinalize all.

Stepan Konev said:

Unfortunately there is no way to distinguish between the finalized and unfinalized files

In the files view the finalized files do show the original file name extension, the unfinalized files have *.sdlxliff as file name extension.

The finalization of files and closing projects plus removing them from the projects view is my standard procedure. It makes the way of working clear and easy to maintain. This way I have a short projects list in Trados Studio. And a finalization of a file means having both the target file and an updated translation memory. As I do always create project TMs, this is the only way of keeping my main TMs updated. Trados Studio is the only tool on the market giving you the possibility to work in a way you want. There is no "optimal" process and luckily no processes are written in stone here like in many other tools, where you can work their way or no way.

As for your remark on reverting to sdlxliff, selecting individual files is quite simple. Press CTRL and click the files you want to revert to xliff. So you can do that without the need to select all files by CTRL+A.

Jerzy Czopik said:

In the files view the finalized files do show the original file name extension

Oh, right! I didn't ever notice that. Thank you!

What regards your comment on the finalization process, I see now why, thank you. However I still can't say I need that. I don't create projects for every single task. I have a limited number of projects (project = client) and only add and remove files from them. In this regard I agree with you:

Jerzy Czopik said:

Trados Studio is the only tool on the market giving you the possibility to work in a way you want.

Thanks!

Jerzy Czopik said:

In the files view the finalized files do show the original file name extension

Oh, right! I didn't ever notice that. Thank you!

What regards your comment on the finalization process, I see now why, thank you. However I still can't say I need that. I don't create projects for every single task. I have a limited number of projects (project = client) and only add and remove files from them. In this regard I agree with you:

Jerzy Czopik said:

Trados Studio is the only tool on the market giving you the possibility to work in a way you want.

Thanks!

Stepan Konev 

This shows how flexible the program is. You can have one project per customer and only exchange files there. Or you can create a single project for each new task. This really depends on the way you wish to work. There is no reason for my way of work to be better than yours or the other way round. We have the freedom to chose and this is great.