This is a common issue with many of the standard reports and can also be an issue with some custom reports. When Exporting to Excel, you get what you see in the report. For many of the reports, in order to preserve space on the report when the report is grouped by something, usually a fully merged group header is used and in some cases the footer is merged as well.
In order to get the best possible translation for a SQL RS report to Excel, the best thing to do is to create a custom report where each report group column has its own column on the report. This is also the same thing you would do if you were to create it in Excel. By creating a custom report where cells are not merged to show text for headers and footers, the export to Excel should be clean.