The answer to your first question is probably that you forget to check Embed ICC Profile... in the bottom of the dialogue:
The second part of your question needs a little more explanation (I will try to keep it short).
First of all, if you are making vector graphics you should really export a PDF instead of a JPG. A PDF will preserve the vector shapes of your artwork and can potentially look much more crisp than a JPG which consists of pixels.
Then there is the CMYK/RGB issue. You are working in RGB and therefore you have access to all the colors which can be displayed on your screen (and possibly more). No printer (digital or offset) can ever reproduce all those colors on paper, so some kind of "dulling" will occur.
If you convert to CMYK you will be able to see the degradation of colors on your own screen and you wont be too disappointed when you receive the final print. BUT, it makes no sense to convert to CMYK unless you know which profile the print shop recommends! Different devices/paper types demands different profiles and there are big differences between them.
Ideally a print shop should make their own CMYK profile for each device in order to be able to fully take advantage of the capabilities of the device, but that is sadly rare in my experience (because it's expensive). Often they just tell you to use some standard CMYK profile which will make sure that you won't expect too vivid colors, but it might be too restrictive and remove some colors which could have been printed.
If you on the other hand deliver an RGB file for print the printer will make the conversion to CMYK and in many cases this will give you more vivid colors than if you convert to some standard CMYK profile yourself. The problem is that you don't see the degradation before you receive the print.
If I were you, I would try to find a local print shop where they seem to know what they are doing and ask for their advice. Then make a few test prints and when you find a method which gives you good results, stick to it.
