Never really tried directly exporting saved folders from web based Hotmail. You could link your Hotmail to live mail or preferably Outlook then export/import into a gmail account from there. However this would only get the email in your inbox not saved folders. You would have to manually do that and depending on number of folders/emails it may be tedious.
Just did a little looking and you may want to try this if you are somewhat technically savy. It has a trial version that you can try. Or if you trust me I could give it a try.
https://www.systoolsgroup.com/hotmail-backup.html
Or how about this?
How to Migrate Emails From Hotmail to Gmail | Chron.com