I was looking for a way to save all the emails returned after searching for some word.

There is not an direct way to do it, so this is a workaround:

1. After the search returned the list of emails, just select them (mark the checkbox)
2. Click in the (…) and select the option: Forward as attachment
3. Go to Sent folder, click on email that you just sent and click on (…) and Download email

Thanks user Dave Thompson 8260 for this tip: https://support.google.com/mail/thread/9010168?hl=en