How to export xml file using UTF-8 encoding?

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Slawek, you can create file with UTF-8 encoding, action Generate a text file on screen. Webcon version 2025.1.1.23

I'd add here that in previous versions this action didn't exist.
You could use a Add Attachment action, and inside an SQL query it should go like this if i remember correctly:

SELECT CONVERT(VARBINARY(MAX), 'hello world' COLLATE Latin1_General_100_CI_AS_SC_UTF8) AS Content, 'file1.txt' AS FileName;

in case of older compatibility level / sql server version change varbinary(max) to image.