We recently had an issue trying to export a data explorer query as a SHP file, receiving a non-descript error with no additional explanation every time we tried to export. We ended up raising it with support only to find out that Geometry Collections aren't supported in SHP file exports. The Help page for exporting data explorer results doesn't mention this anywhere, and we could have saved a lot of time if this was mentioned.
I did suggest with Support that the help page is updated to include this restriction, and support directed me here to submit this suggestion as an idea.
Please ensure the help page for data exports (and any help page, really) specifies restrictions to the process, outlining things that categorically won't work as well as highlighting the 'golden path'. Also please ensure error messages have comprehensive descriptors to ensure users are aware of why something isn't working.