I had to update the title of your question because the title you entered did not actually described the problem you are trying to solve. Why is this important? Because we have a very larger number of viewers how are very likely to be searching for this specific solution. Please consider this when posting new questions in the future.
I tested this on my own platform and everything appears to be working correctly. I tested this using a custom column with the following line of code:
plot data = Average(close, 21);
I then added this column to the MarketWatch --> Quotes screen and exported to Excel. I also added this column to a watchlist gadget on the side panel and exported to Excel. In each case the custom column came across as expected. However only the data I exported from MarketWatch --> Quotes displayed current live values. The values from the watchlist gadget were exported as a .CSV file and the values are static.
You did not provide the code you used in your custom watchlist column so I have no way to test your exact issue to see if it is isolated to your own Thinkorswim program or if the problem is systemic (occurs for all users).