The export button in the dialog should have a href attribute set so users can optionally copy/paste the link to the export. This is important so users can make changes to it such as adding certain parameters. This used to work and we used to recommend users to click on eg csv (which downloads directly) and then to copy the link from the URL.

When now opening the export dialog, the href should be directly set so users can choose what they want to do (eg open in new tab) or copy the URL etc.

We've had this reported from a customer.