So are you saying that I have to go to each keyword, and select it to be exported?
No, I'm not saying that. Fortunately, there is an easier way. Export the keywords to a .CSV file (Metadata->Export Keywords->Include Keyword Tag options), open that with a text editor, make bulk changes to the file, and then Import the keywords from this modified .csv file. Before you do this, please make sure you have a backup of your current catalog file (which you should have anyway).
Just looked at a few keywords and some have the export options ticked and some don't. Why?
This is all controlled by the user. At some point, you changed the default (and probably don't remember doing this).
"Export the keywords to a .CSV file (Metadata->Export Keywords->Include Keyword Tag options), open that with a text editor, make bulk changes to the file, and then Import the keywords from this modified .csv file."
Unfortunately, Metadata > Import Keywords won't change existing keywords -- it will only add new keywords if they don't already exist.
Use Metadata > Export Keywords to find all keywords that have Include On Export unchecked. If there are less than, say, 100 keywords, just change them all by hand. If there are many more than that, you could use the Export and Import commands of the Any Tag plugin to make batch (bullk) changes to your keywords. But there will be time needed to get the plugin installed and figure it out (with LR, manual processes are often the fastest).