Q: How do I set the map_scale in the Display Window?
A: Note that for use on a computer montitor "map scale" is probably wrong. In order for it to be right the exact distance across your monitor would have to be known as Scale is the ratio of distance on map to distance on ground. If the distance on the screen (in ground units) isn't known, you can't do that calculation. Typically the system (be it X11 or MS Windows) has a rough idea of the dpi, but it's probably +/- 30% and not very reliable.
Some software like the GIMP have a calibration tool where you can make it a bit better (until you change resolution settings or use a different monitor). But most software just give you a very rough approximate and hope you don't notice/care. IMO the scale shown in the map display window is misleading and should be disabled. (just because lots of other GIS software pretend to support this doesn't mean we should too; borrowing the monitor calibration tool idea from GIMP is another option)
Q: So is it possible to export and plot maps with a given map scale at all?
A: Yes. themodule knows that its output plots will be on paper, and it knows how big that piece of paper is. therefore it can correctly calculate and use the scale for PostScript (and so PDF format too) hardcopies.