It's frustrating if you don't know where the "merge header" options are so let's keep this one short and sweet. In a dossier, there is a simple way to merge / unmerge row or column headers.
In a dossier, the grid visualization will likely have merged row headers and unmerged column headers like the example below.
To show the "Merge" option, open the visualization options and select "More Options"
In this menu, notice the "Merge" check boxes for both the column and row headers.
In this example, I deselected the merge options for unmerged row and column headers that is perfect for exporting.
And that's it!