Yes. It was rather difficult to find free software that could convert them to .sf2. The software I did find saved each instrument separately. It has a "single unit" button, which I assume is intended to save it as you described, but it's not implemented.
![](https://rmrk.net/proxy.php?request=http%3A%2F%2Fi.imgur.com%2FKbaXQCK.png&hash=fa4fa17d5086c47cc05c123a8d0e460a8703b5c9)
I didn't really think much of it because .exs files represent individual instruments. I'm not sure what implications having the .sf2 instruments separated into individual files will have on other DAWs, but I assume this isn't a problem if the software you're using is worth a darn and lets you use multiple soundfonts. Now, you couldn't load this into a midi player and have it work properly, but if it were one file it wouldn't sound good anyway since it's not structured after general midi.