It would indeed be nice.
I asked their helpdesk in April 2007 and got as a reply:
"Unfortunately, there is no possibility to export data from polarpersonaltrainer.com to any file format.
However, Polar product development is strongly based on customer feedback.
Therefore I have forwarded your feedback to web service development team.
Your feedback will be taken into consideration when developing polarpersonaltrainer.com"
I can't imagine it takes a computergenius to do it, so I guess there is not enough people asking for it