I have been experimenting with SFS2X for a while and I am sure that every time you restart your server your extensions are reloaded. If you have 'reload mode' in 'Zone Extension Tab' set to auto, the extension will reload without restarting the server.
It seems that your doing everything right and because you've tested your extension, your export path must be right. Double check that your export path is similar to the following C:\Program Files\SmartFoxServer2X\SFS2X\extensions\MyFirstExtension\MyFirstExtension.jar
You could also try exporting to an alternative path and manually copy the file into your extension path. If it reloads the old extension then there would have to be another SFS2X server installation path.