Automating a property with an LFO Controller works fine in real-time playback, but it seems to be only occasionally sampled on export (regardless of the file format AFAIK), and sounds "stepped" as a result
LMMS project file
bugrep.zip
Listen to the project file first, and then export to WAV or some other format
if you want to do it manually with the default file:
Connect it to a Coarse Detuning knob in the TripleOscillator
Add a pattern with a long note and play it in the Song Editor; the TripleOsc should sound fine as expected
The exported audio file sounds like the real-time playback of LMMS with no issues
The exported audio file has very noticeable "jumps" in the LFO Controller
A little comparison of an exported file from LMMS (top track) and recorded real-time output from LMMS (bottom track) in Audacity

Branch: master. I've noticed this issue on stable 1.2.x as well.
This never occured in 1.1.3.
This is another issue with automatic signal-slot connections that should be direct instead. I fixed the ones in the core, LADSPA, and VST in #4692 and #4942, but didn't touch the built-in plugins.
Just took a leisurely stroll in the TripleOscillator's code to see if setting all the signals to be DirectConnections would fix this, and it did, and I'm definitely surprised that the fix is _that_ small. But I'd venture to guess it would take a good chunk of time to add this fix to all of the plugins...
I'm not currently working on this, so if you'd like to open a PR with your changes, that would be very welcome. Don't worry about fixing all the plugins at once - any fix is better than nothing.