First, verify that you are exporting to correct file path, such as Desktop:
  1. Right-click on any document on your Desktop and select Properties (If on a Mac, select Get Info)
  2. Underneath the file location, note the file path
  3. Using this same file path, attempt to export the file from the hosted application once more

If issue persists, export the file to the Blackbaud Hosting Services Files Folder