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 attempting to save to a virtual drive that syncs to a cloud based application, like OneDrive, DropBox, GoogleDrive, this may work, but Blackbaud does not test or support this configuration.  Saving to a network drive will need to be a physical drive.

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