The export is ok (if I'll export to .sql, and import the file with MySQL Workbench it works fine). The issue is with the HeidiSQL import. When exporting to .sql, and trying to import, the Hebrew chars turn to Gibrish.
I tested v11.3 on Windows 10 and Linux (Playonlinux/Wine) and the issue is in both. After downgrading to v10.2, it works fine in both.