It seems that #Microsoft has decided to remove #WindowsMaps from the store on July 1st, 2025. https://learn.microsoft.com/en-us/windows/whats-new/deprecated-features-resources and there is no obvious way to export favorites and collections.
So I took a look and found that the information is stored in the App directory under %LocalAppData%\Packages\Microsoft.WindowsMaps_8wekyb3d8bbwe\LocalState\Collections in several SQLite database files in subdirectories, all called Collections.db.
Just copy the files out and open them, e.g. with https://sqlitebrowser.org/ The collection entries are kept as varchar JSON strings in a field called JSON in a database called DBItem. Use 'select JSON from DBItem' and then save the output of the query into a new file.