Merge fields are for text display purpose in FM, they don't work the same way as in Office applications. If you need to export those fields together you need to create a new field Full Name and in Auto-Enter Calculated Value write the following expression:
YourTable::First Name & " " & YourTable::Last Name
Change your layout to use this field (not merged) instead. Export now as expected.
Thanks for the help! While waiting for an answer I explored Calculated fields and used =First Name & " " & Last Name as you recommended. I didn't use the Your Table portion however. I presume this is only necessary if you have multiple tables. Thanks again for your reinforcement.