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At the current moment, there is no way of me to export multi-worksheet Excel file to a folder without installing a plugin, so decided to create one. Very simple script and can be found here: https://github.com/akmalsoliev/dataiku_multi_sheet
Coming across some message boards noticed that the only purposed option was BytesIO, but that creates a corrupt Excel file. This script creates a tempfolder that is later discarded.
Hope this helps.
Thank you for sharing this with us @asolievand welcome to the Dataiku Community!
Shameless plug but I'd love for you, after reviewing of course, to consider submitting this as a piece of Dataiku Inspiration! Let me know if you have any questions.
Thanks @asoliev I reached out to you directly to provide more info.