I saved an exploded view as a step file and reimported it, with the usual associated intelligence losses.
Perhaps other export formats will better in this respect, but it's still a loss regardless.
I tested this out, thinking that you could just explode the assembly, then save it out as a part or a parasolid. But that doesn't work, because in both cases, it does not save the exploded position references. It only saves the base configuration!
Kevin was right. The only way that I can get this to save the exploded positions is to save it as a STEP file or an IGES file! Wow.
The only other way would be to explode it using actual mates and maybe 3D sketches to define the locations.