The on-screen rendering is only a convenience feature. It does not mean that LaTeX can be rendered like that in all output formats. When you export directly to PNG or PDF, no LaTeX processing is applied, and therefore you won't see LaTeX formatting. I'm contemplating about adding such a feature, but it's not trivial.
Usually you would export to pstrickts, pstex or pdftex and include the resulting files in a LaTeX main document. That's what you usually do when you write a paper and include WinFIG/Xfig draings. See the FAQ and the forum for info. But remember that the actual look of the LaTeX texts depends on document class, styles etc in the main document. When WinFIG generates the graphics snippets for viewing on screen, it uses an envelope as a replacement for a main document in which it wraps the LaTeX texts. You can edit that envelope in the preferences (TeX view) to match your main document.
However, there is a convenience option in pstex/pdftex exports called "export both parts and create a document..." that can be used to create a one page PDF or PS in one step. WinFIG will create the envelope on the file and send it through LaTeX tool chain.