Windows Phone DOES have an export to SIM feature. My Lumia 920 has it. I have found out that export to SIM is being turned off by a lot of carriers for whatever reason.
Where exactly do you find this 'export to SIM' feature? It isnt under settings with people. I have multiple accounts and only some of them are syncing to the live.com site so I need to back up all the ones on my phone
If the option is available on your phone, it would be found in the People Settings.

Since you don't see the option there, your phone doesn't provide the option and you won't be able to export the phone contacts to the SIM card.