Exports are built in your browser, so a very large export uses your machine's memory rather than a server's.
What you will see
When an export would be substantial, Subdex shows the estimated size before you download. Tens of thousands of records produce a file of several megabytes, and preparing it takes a moment.
Keeping exports manageable
Export what you need. Posts and comments are separate CSV files, so you need not take both.
Filter before exporting. Excluding subreddits or narrowing a date range reduces the export as well as the analysis.
Prefer CSV for large sets. JSON carries more structure and metadata, which makes it larger for the same records.
Why size matters here
There is no server to hand the work to. That is the tradeoff of a tool that never uploads your research: everything is private, and everything runs on your machine.