Not sure how much of a "hint" this is, more like hidden thing. It might just not be obvious from Apple's terminology, but the mailbox "Archive" functionality mentioned in the 300+ features...
Archive Mailbox
Create an archive of your mailbox to back up important messages or to transfer your mail to another computer.
Mail archives the mailboxes as .mbox packages. If you've already archived a mailbox, Mail does not overwrite the existing file but appends a number to the filename to create a new version of it.I've "tested" it successfully, and it also works with RSS feeds with the "Archive Feed" item (in both the contextual and Mailbox menus).
If you need to restore messages, you can import an archived .mbox file as "Mail for Mac OS X."
[robg adds: So now there's another method of mbox export, in addition to this one.]

