Thanks for the tip but I need to export all the data.
I was able to export the data using TMS FlexCel. For this, I did the following:
1) I created a spreadsheet template (in runtime).
2) With FlexCel I generated a report using dataset data (connected to TwwDataGrid)
3) With FlexCel I exported the final spreadsheet in PDF or XLSx.
I suggest that in a future release you implement the ability to export all grid data in PDF (Including images).