WAV files do not need to be exported. This is to reduce project sizes, since WAV is an uncompressed format, and OGG and M4A are compressed.
What you can do to make sure your sounds are even playable after conversion is to load them up from your project. Use Windows Media Player or another audio player and if they cannot play it then chances are something is wrong with the conversion process.
But using another program to output WAV files is still good.