I do not know the site but it is just easier create a new address on a wallet that allows to export the private key and send your bitcoins to it.

Most sites do not let you export a private key because it is a security issue.

If a user can export a private key, then there is a risk that an attacker could export all private keys en-mass.

The preferred way is to generate your own private key, using any of many different websites or software, and then move funds from the coin-service-provider to your own personal address. Although you do incur a transaction fee, you can be assured that ONLY you know the private key to your funds.