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Is there any way to export images with the image file name applied as a watermark? I tried looking. If someone has the answer or knows of a thread, thanks ahead of time.
You can add the file name to the image within the Print module, and then 'Print as JPG' file. But it's ugly, inflexible, and you couldn't really call it a watermark.
Have a look at Tim Arme's LR2/Mogrify, an export plug-in, which is basically the 'gold standard' at present for this kind of thing. It's free to try, and reasonable to own.
Another way is use Tim Armes' LR/Transporter to populate the IPTC Copyright field with the filename, and then just check the "Add Copyright Watermark" button.