Adobe Lightroom only writes changes to Metadata such as geolocation into the XMP sidecar files and not directly into the EXIF tags of the image. If you add coordinates via the map module, then you will need to copy that information from the sidecar files back into your raw files (in my case Nikon NEF). With the excellent ExifTool, this is pretty simple and straightforward:
$ /pathToExifTool/exiftool -tagsfromfile ./%d%f.xmp -ext NEF .