It works with collection instances. 
If you instance a collection/s and use Ctrl A – make instances real, you will get separate copies of the instances (the original object with the GN modifier will still exist as well)
The new “real instances” still share the mesh data of the original collection objects, so they are instances.
If you then select the new instances, export them in fbx and import them to a new file they are still instances. I was actually surprised it worked!
Edit: I changed the first pic.
Edit 2: Sorry Ctrl A not Atlt A!
From your file I changed the GN setup to instance a cube that is in collection2, I got rid of the realize instance node.
Then I did Ctrl A “make instances real”, selected the new instances and exported them to fbx.
Here is the fbx containing instances. 
instances2.fbx (17.8 KB)