Unfortunately, excluding the import/export of an address book, the Webmail which does not have this type of functionality for messages. The only method is to configure your email address in an email application and then use the functions available in this software to export them. We take note of the issue and will forward the suggestion to the teams concerned. Thanks!
Without using third-party software
Make sure that your Videotron webmail account has IMAP access enabled. This allows you to synchronize your emails with an email client or backup tool on your computer. Check Videotron's support documentation or contact their customer support for guidance on enabling IMAP access for your account.