You have correctly deduced that exporting from the GUI currently exports only the single plot selected. Our exporter is not currently capable of supporting multiple plots.
By using plotsetup you are actually passing your plots to an old version of the plot exporter. It also can't export multiple plots, but instead passes the arrayplot to another (old) piece of code which tries to combine the arrayplot into a single plot. This combiner generally works, but because it is old code it cannot cope with any features of the plots added in recent releases (such a math characters). It also has problems of its own with legends and axes, which is why we don't recommend using it any more.
I'm afraid for now the best way to export high quality plots is to export them individually. We will consider adding the ability to export an arrayplot in the future, but I can't be definite about if or when that might occur.
David Clayworth Maplesoft GUI Developer