Answering my own question.
For Magento 2.0
The right way to add a mass action item to the Catalog grid in Magento is by creating the following file:
app/code/DigitalPianism/ProductExport/view/adminhtml/ui_component/product_listing.xml
<?xml version="1.0" encoding="UTF-8"?>
<listing xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:noNamespaceSchemaLocation="urn:magento:module:Magento_Ui:etc/ui_configuration.xsd">
<container name="listing_top">
<massaction name="listing_massaction">
<action name="export">
<argument name="data" xsi:type="array">
<item name="config" xsi:type="array">
<item name="type" xsi:type="string">export</item>
<item name="label" xsi:type="string" translate="true">Export to CSV</item>
<item name="url" xsi:type="string">productExport/productexport/exportCsv</item>
</item>
</argument>
</action>
</massaction>
</container>
</listing>
For Magento 2.1
See Giel Berkers answer