The short answer is that Export is usually to save in a different format, but if the desired format is available in both
Save there is no difference between them to most users.
Export is used to make a new copy of the active document in a format that is not normally supported, so that it can be opened with a different program.
Save As on the other hand, offers the ability to create a new copy of the active document in a normally supported format for the application (Word, in this case).
Sometimes an exported document may not be identical to the original, as the new format may not support the same feature set, but a saved document is generally expected to be identical to the original (except perhaps for features not present in older versions of the file format).
In the case of Word, PDF was originally not a supported format for
Save but has since been added (either because Word now more fully supports PDFs, or perhaps simply as a convenience link to the existing
Export functionality), making