In the latest edition, the order is still created before sending the user to paypal (that has to be done that way), however, if the user clicks on the cancel button, he is back on the checkout from where he came and the order which was created is changed to cancelled automatically.
We don't delete the order (you could always do that with a small hikashop plugin though).
And yes, you should only export the orders which are confirmed. Normally, you should be able to select the order status before clicking on the export button on the orders listing in the latest version.