As a Ubuntu (Linux) user, I'm not very familiar with Windows. A bit of research shows that 3D Builder is geared towards 3D printing. That may explain why the texture is not included in the exported file.
And as OK points out, Microsoft is well-known to have their own interpretation of what is "standard", so it shouldn't come as a surprise that their OBJ-files are incompatible with about anything not-Microsoft.

H