For Open Channels, you can search for messages with a keyword using the Dashboard. The feature is under the Messages section.
You cannot yet search through 1:1 and Group Channels, but the feature will be available soon.
This feature is only for administrative purposes, and a periodic data export would be better suited for other, more general, purposes.
Contact us at firstname.lastname@example.org if you are interested in including periodic data exports in your plan.