Is MJPEG supported as a video export format ? If so does it require a third party installation ?

Since this is the developer forum I suspect you want to build the integration. You would do this simplest by retrieving the images as Jpegs using JPEGVideoSource and then save the images to disk.

If you are not developing an integration the Smart Client export dialog includes an option to choose export formats, the option “Still images” will output a series of JPEGs.

We are looking to leverage the SDK to create a video export in mjpeg format.
Looking at the ExportSample example shows export capability as .avi and .mkv formats.
Is there a native capability to export as mjpeg, or would we have to first create the .mkv file and then transcode to mjpeg ?
Thanks in advance

Your observations that the MIP SDK export function is for other formats is correct. For JPEG still images you would not use the SDK export functions. For JPEG still images retrieve the images using JPEGVideoSource and save them to disk.

On using JPEGVideoSource I can recommend the Media Playback Viewer sample.

On saving JPEG images see - https://developer.milestonesys.com/s/article/ka20O000000Xb5AQAS/How-to-save-a-JPEG-image-file-based-on-JpegData