Here are several relevant points:
1) EV Search allows you to export to Zip, PST, or NSF. Which options are available when a user right-clicks a selection will depend on what is configured in the user's Search Policy and on the type of data in the selection (e.g., PST is available for Exchange data, while NSF is available for Domino data).
2) EV Search limits you to 200 items in your selection. This is not a configurable setting.
3) The legacy Search webapp (EV 10 and earlier) could export a much larger result set (up to 5000 items) to PST. The steps to export to PST using the old Search are here. Since you are using EV 11, you will need to access the old Search by modifying the URL as follows:
http://EVServerName/EnterpriseVault/Search.asp?useoldwebapps=1
Once you run your search, use the "restore all results" link in the top right:
4) In EV 12.1, we added an Export-EVArchive cmdlet to the EV Management Shell, which accepts a -SearchString parameter to filter the export. One of the export formats available from this cmdlet is PST. You can use this in the future when you upgrade to EV 12.1 or later.
Hope that helps!
--Chris