If I want to have a different field delimiter, say a pipe (“|”), is there an option to export with another delimiter and filename extension?

Yes, in a Delimited File Destination object, you can either choose a Field Delimiter from the drop-down list or specify one according to your dataset.

Also, while exporting to a Delimited File Destination, you have the flexibility to choose whether you want to export it in .CSV format or .txt format.