Export messages from Teams Chat?

Thank Bouke, but to be honest having to run powershell commands to export to chat to a .PST file is not exactly a convenient solution.  I tried to run this and got an error (Get-mailbox : The term 'Get-mailbox' is not recognized as the name of a cmdlet, function, script file, or operable program.), which suggests to me that I need to be on the server on which Teams resides, to which I do not and will not ever have access.

Hello Will Chase, 

For these puposes there is a compliance centre in M/O 365:

Your global admin can assign permissions if you are a person who handles public records requests. https://compliance.microsoft.com/homepage

In this admin centre you can do data subject requests / searches

I am disappointed that there is no export functionality, especially as these conversations could fall under public records requests. In fact, the ability to edit/delete your messages puts those of us under public records laws in an awkward place.

1. There is no "Share to Outlook" option available. I can not say why not.
2. Copying entire conversations is difficult, as it will only allow copying roughly a page at a time. When you attempt to include more than a page, it will either drop off the first part or the second part. It is unclear what the application considers to be a "page".
3. This is a massive functional deficiency in the application which Microsoft needs to escalate getting a resolution for.
4. Take somebody off creating new cutesy plug-ins that nobody asked for. Work on providing an "Export Conversation" plug-in.

Great, thank you!