Data export uses bulk operations on the DB and is NOT guaranteed to be transactional, so issue like you described can and eventually will happen.
"An export operation performs an individual bulk copy of the data from each table in the database so does not guarantee the transactional consistency of the data. You can use the Windows Azure SQL Database copy database feature to make a consistent copy of a database, and perform the export from the copy." http://msdn.microsoft.com/en-us/library/windowsazure/hh335292.aspx
if you want to create transactionally consistent backups you have to copy the DB first (which may cost you a lot, depending on size of your db) and then export a copied DB as BACPAC (as ramiramilu pointed out) http://msdn.microsoft.com/en-us/library/windowsazure/jj650016.aspx
you can do it yourself or use RedGate SQL Azure Backup but from what I understand they follow exactly the same steps as described above, so if you choose their consistent backup option it's gonna cost you as well.