If you are using an older version of office then you may have problems exporting rating scales from SharePoint Surveys. This appears to be a client issue (ie Office 2003), so if you use Office 2007 then you should find that the rating scales can be successfully exported to excel.
A simple example/test will demonstrate:
So if you are using Office 2003 and you notice that the rating scales do not export at all to excel, then you will simply need to use a newer version of office to perform the export. Once you have it in excel you can go back to using your older version of office.