“Export to files” feature is for exporting for 3D printing or visualization/processing in external software. If you want to preserve colors and all other display properties then save the segmentation using File / Save.
When an OBJ file is loaded into Slicer then the texture/color information is ignored but the MaterialIds cell array is made available in the mesh. This array contains a different value for each segment, and you can choose to use this value for coloring in Models module’s Scalars section. If you choose a color table that matches the original segment colors then you can make the model appear similarly as it was exported.
This feature is for scaling of coordinates (for example, if you want to have your model coordinates to be defined in meters instead of millimeters). You can find explanation of all parameters in tooltips.