Add an "All Memberships Levels" column to the members list and include it in the CSV export.

pmpro-memberslist-add-all-membership-levels-column.php

<?php
/**
 * Adds "All Membership Levels" column to the Members List and export CSV.
 *
 * You can add this recipe to your site by creating a custom plugin
 * or using the Code Snippets plugin available for free in the WordPress repository.
 * Read this companion article for step-by-step directions on either method.
 * https://www.paidmembershipspro.com/create-a-plugin-for-pmpro-customizations/
 */
// Adds "All Membership Levels" column to the Members List.
function my_pmpro_add_all_membership_levels_column( $columns ) {
	$columns['all_membership_levels'] = 'All Membership Levels';
	return $columns;
}
add_filter( 'pmpro_manage_memberslist_columns', 'my_pmpro_add_all_membership_levels_column' );

// Populate the "All Membership Levels" column in the Members List.
function my_pmpro_fill_all_membership_levels_column( $column_name, $user_id ) {
	if ( 'all_membership_levels' === $column_name ) {
		$levels = pmpro_getMembershipLevelsForUser( $user_id );

		if ( ! empty( $levels ) ) {
			$level_names = array();
			foreach ( $levels as $level ) {
				$level_names[] = $level->name;
			}
			echo esc_html( implode( ', ', $level_names ) );
		} else {
			echo '—';
		}
	}
}
add_action( 'pmpro_manage_memberslist_custom_column', 'my_pmpro_fill_all_membership_levels_column', 10, 2 );

// Add the "All Membership Levels" column to the Members List CSV export.
function my_pmpro_add_all_membership_levels_to_csv( $columns ) {
	$columns['all_membership_levels'] = 'my_pmpro_get_all_membership_levels_for_csv';
	return $columns;
}
add_filter( 'pmpro_members_list_csv_extra_columns', 'my_pmpro_add_all_membership_levels_to_csv' );

// Populate the "All Membership Levels" column in the CSV export.
function my_pmpro_get_all_membership_levels_for_csv( $user, $column_name ) {
	if ( 'all_membership_levels' === $column_name ) {
		$levels = pmpro_getMembershipLevelsForUser( $user->ID );

		if ( ! empty( $levels ) ) {
			$level_names = array();
			foreach ( $levels as $level ) {
				$level_names[] = $level->name;
			}
			return implode( ', ', $level_names );
		}
	}
	return '';
}
add_filter( 'pmpro_members_list_csv_extra_columns_data', 'my_pmpro_get_all_membership_levels_for_csv', 10, 2 );