Marketing Efforts allow you to specify the format of which to export an individual or household name. These formats are ignored when doing a Direct Marketing Export and the format given is the Household Name.
Download and install the latest patch, which contains all fixes from previous patches. If you are running an older version, download and install the latest version and then the patch.
Work Around: In order for the formatted name to be used, the Contact Addressee field under Constituent Marketing Information\Fields\Contact addressee needs to be included in the Export Definition.
This field will be the primary household member's addressee for organizations, households, and groups.