Then when I export then and run them in the game they are dull.
I suppose you've already done that but make sure the material you use is correctly setup.
From what I understand the game is not a color managed environment and takes no notice of what color space they were authored in, and does no color correction to account for the difference in monitor colors.
Image are exported to sRGB because sRGB is a common color space for screens to use, and GPUs support sRGB textures. In Unity there is a checkbox in the texture importer to enable/disable sRGB (by default it's on I believe). So game engines know about color space but kind of requires you to feed them sRGB and to render to sRGB.
I don't know if the OS or the engine handle a conversion of the frame buffer to the monitor color space. Maybe you could use a post process shader to convert the final color space, but that would require you to find the user color space and know how to convert to it. Maybe ask in the Unity forums ?