We are not able to export defects along with features and user stories in a Custom List With Deep Export app.
Could you please assist us with any other app from which we could export features, user stories and defects with relationship ?
The Custom List With Deep Export app that is found in the App Catalog is not able to export Portfolio Items and all children.
There is another version of this app that will allow you to export Portfolio Items and all of its children.
This app is not supported by Rally but is free to use and modify for your own purposes.