Session->Export MIDI File does not prompt, other than for a filename.
When I have no sequence parts selected, I get the expected behaviour -- all parts are exported.
When I have one or more parts selected, only those parts are exported -- however, they are exported "in the time line", i.e. if they are not at the start, there is a period of silence exported.
With an audio export, you can set the start and end time line positions and only the audio between those times is exported. This is not currently possible with MIDI.
I'm not sure whether I'm reporting a bug or posting a feature request... I can't see the need for the current behaviour, so I favour "bug"
but I generally prefer flexible options, so having the same control for MIDI as for audio would be nice.