Thanks there was NO option for data or all, just an xml file:
In the Export menu, choose Contact Forms if you want to export contact form data only. You can also choose All content (this includes contact form data).
Yes, that XML file contains the necessary data you chose.
I tried to do the import, but there appears to be no option for the xml specifically for Contact 7 in WP 6.9
These are the options:
Blogger
Import posts, comments, and users from a Blogger blog.
Categories and Tags Converter
Convert existing categories to tags or tags to categories, selectively.
LiveJournal
Import posts from LiveJournal using their API.
Movable Type and TypePad
Import posts and comments from a Movable Type or TypePad blog.
RSS
Import posts from an RSS feed.
Tumblr
Import posts & media from Tumblr using their API.
WooCommerce products (CSV)
Import products to your store via a csv file.
WooCommerce tax rates (CSV)
Import tax rates to your store via a csv file.
WordPress
Import posts, pages, comments, custom fields, categories, and tags from a WordPress export file.