There's no cost for enabling a continuous export. Costs might be incurred for ingestion and retention of data in your Log Analytics workspace, depending on your configuration there.
Many alerts are only provided when you enabled Defender plans for your resources. A good way to preview the alerts you get in your exported data is to see the alerts shown in Defender for Cloud's pages in the Azure portal.
Learn more about Log Analytics workspace pricing.
Learn more about Azure Event Hubs pricing.
For general information about Defender for Cloud pricing, see the pricing page.