Hi Alexey,
Ok, so I did some investigation of the Shape file format and understand the restriction of only having a single type of shape per file. I don't really see that as a problem and is what I would have expected by the options for export. Where the disconnect is in what I now realize is between closed contours and open contours. Given the way ArcGIS handles these files, it's apparent that their definitions for polygons match the standard graphical definition. A closed polygon is a shaded/filled object while an open polygon (poly-line) cannot be filled. Thus, when I open the polygon export in ArcGIS, the default is to show it as a solid colored surface with no borders representing the contours. I can change that setting, but it shows that's not what ArcGIS is really expecting out of a polygon shape file. I'm assuming that's intended for surfaces only, and would support creating a color gradient map, etc.
Given the restrictions of the two formats, what I would have expected was that the poly-line would have output all of the contours in the project as poly-lines, so that even the closed contours are essentially open polygons. Likewise, the polygon output could output all of the contours by applying the same border that's defining the perimeter of the contour map to each open contour so that they're all polygons.
At any rate, I now believe I understand what you were trying to explain in your responses, but not why that needs to be a limitation to exporting all of the contours in either one format or the other.
Thanks,
Beo