I spoke with the develop about this, and the response was that this behavior is expected.
The brightness for a background blur object is a property that affects how the objects behind this layer are rendered. In XD, the object behind the background blur is actually a white canvas (and the brightness effect is influencing that), while when exporting the object by itself, there is nothing behind it. In the case of negative brightness, that means there is no object to “darken”, so to speak.
There is however a workaround to export the image as it looks in XD: group it with a white object behind it and export the group. I hope that helps.