When you click the Export Data button and select your format, the current process generates a downloadable file and saves it in your ArcGIS Online account as a new item. You then have to go to that new item page and download it to actually get the data you want in the requested format. It would be a much better end user experience if the data downloaded directly to your machine instead of adding in the extra step of creating an item page. In my experience, the extra item page does nothing more than create clutter in the user's account.
