With classic project boards, downloading a CSV file gives an indication of the epic that stories are associated with. (Custom field (Epic Link)).

This allows for bespoke reports when aligning stories for various reasons (such as budgeting).

With Next Gen CSV downloads, the 'Epic Link' column is not populated, meaning it is not possible to find a 'Parent' Isuse', nor are there any other ways to sort-by-epic when managing CSV downloads unless an export is done for each epic.