The Button export to excel is in the ribbon. See help description here.
The first button on the ribbon is a page with save icon this is the export button.
The export button you have pressed is to import /export the BOM column settings.
It looks like you are trying to export the customization file, not the actual BOM. If you click on the top left icon here:
You should see these options when you click on the flyout next to "Save as type:"
HTH