You would need to pass %r or similar in the output filename to get a series of
diffs. (Probably export should issue an error if it would be overwriting a patch
file it just generated for another changeset.)

I use Mercurial Distributed SCM (version 9f1e6ab76069+tortoisehg).

I'm not sure, I'm correct. 
Behavior of 'hg export' was unexpected for me.
When I try to export several changesets to a file it stores only the latest of them.
For example:
 > hg export -o out.txt 1 2
Stores only changeset number 2 to the 'out.txt' file. Information about revision
1 is missed.

Instead of command above I need to use the next one:
 > hg export 1 2 > out.txt
to store changes for the first and the second revisions.