Andrew, I've noticed this as well in my subscription and there's no good answer to the problem using the Excel Add-In. The best workaround that I've found is a bit of a kludge but what I do is to get the set of stories I'm after using the Custom List app, export to CSV and then trim the results in the subject column. For example, the Feature for one of my stories will export as "Feature F15505: Blah blah blah" so it's not too hard to use an Excel formula to trim the Formatted ID out of that string.
There's an oblique discussion of this issue with the Excel Add-In in Agile Central Ideas at https://ideas.rallydev.com/ideas/D3247 but there's not been much interest and the idea is archived. Wish I had a better suggestion for you.