From the Command Reference manual:
The export utility normally writes
date data in YYYYMMDD format
char(date) data in ″YYYY-MM-DD″ format
time data in ″HH.MM.SS″ format
time stamp data in ″YYYY-MM-DD-HH. MM.SS.uuuuuu″ format
Data contained in any datetime columns specified in the SELECT statement
for the export operation will also be in these formats.
So it is doing as expected with the TIME data. I can't find any MODIFY option for time. However, one option is to change you Select * to a Select column list and use the CHAR function to force JIS format.
Export into table.txt of del modified by timestamp=\"YYYY.MM.DD HH.MM.SS\" SELECT DATIME, CHAR(TIMEDIT, JIS), LANG, ALERT FROM table
This will get you a time value in the format 09:44:22