Yes, under the hood, that justs saves the JSON. If you load the exported data back into Python, you'll see the original unicode characters. For example:
import srsly
data = srsly.read_jsonl("/path/to/your_file.jsonl")
print(data[0])
Saving data as ASCII (e.g. with \u) is how JSON data is saved by default in Python – this has nothing to do with Prodigy. It's a useful default, because it prevents encoding issues.
You can decide to not store your text as ASCII by saving out the data again like this – just be careful, because if you open the file again on a different machine with a different encoding, you may not be able to see those characters.