The need to have a dynamic way of multi selection of columns from Entity to export to an Excel file, was possible with the combined solutions below.

Instead of doing the standart Outsystems download "RecordList to Excel", this way is possible to choose witch columns of data we want to extract and save to an excel spreadsheet.

I added a multi selection for better UI visual and used the "Sample_Employee" Entity to demonstrate this concept.

Credits to: 

Dynamic Column Export - Overview | OutSystems example to provide the facility to export selected columns from your selected Entity.

ExcelUtils - Overview | OutSystems extension for allowing to Download Excel file with Dynamic Columns.