I find you have to export the unmatched addresses as a table, not a featureclass which has null shapes for the unmatched addresses. Open the table of the featureclass, make a selection STATUS = 'U' , hide the generated fields and export. (9.3, haven't tried 10.0)
I wish we could just switch locators and rematch the filtered set, with a tag for which geocoder that matched the address instead of just an "A", it would be much tidier. You would think that you could change the "active" locator in the geocoding toolbar and that would then be used. I know that composite locators are designed to do this, but I need to pause and consider the errors, maybe do a global fix before running another locator.