This question is pretty straightforward- just read the title.
Thanks in advance 
I recommend that you have a look around on youtube as I’m almost certain you’ll be able to find something there.
The question is really vague, its possible to export roblox avatars and such, but there is not an exact pro or con to it unless there is a specific motive to what you want. Some people Export to make Thumbnails, icons and game pass icons.
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Right click on the model/part and click “export selection” this creates an OBJ that can be imported into blender. The model/part will already have color data that was assigned in studio. A downside of this is that the model/part will be triangulated, this can easily be fixed but can be more complicated on more detailed models.