If I export a secret key or subkey, I am asked for a passphrase (actually, one
passphrase for each subkey, but that is a separate issue). If I leave the fields
empty, a dialog asks if I am sure. I can click "Yes, protection is not needed.",
but this results in the message
gpg: key ...: error receiving key from agent: No passphrase given - skipped
and the file is empty afterwards.
My hard disks are encrypted, so I have no additional passphrase set for my
secret keys. Whenever I create new subkeys (which I do every year), I have to
synchronize it to my laptop, which also has an encrypted hard drive and the
transport is also done securely. So I do not see why I should set a passphrase
for the exported secret key (after all, the key is not even additionally
encrypted in my .gnupg-folder). But even if for some reason there is a design
decision that it should not be possible to export without passphrase (which
would be odd), the dialog suggests that it is possible.