I've been having a similar issue @user51

Your screen recording isn't available anymore but in my case there appears to be an issue with the way the data export rule handles tables that follow the default workspace analytics retention settings.

Assuming you setting up the data export rule via the Azure UI here is a workaround that worked for me.

Open the Settings > Tables menu of your Log Analytics Workspace
For any Tables you wish to export that have an Analytics retention settings that follows the workspace default do the following:

• Click the ... menu and select Manage table
• Set the Analytics retention to any value other than "Same as workspace settings (x days)"
• (Optional) Set the Total retention to same value as you set for Analytics retention
• Click Save
• Repeat for all other tables that follow the workspace default which you wish to export

Return to setting up your data export rule.

I have a private support case open with Azure support for this issue so I will update here if they respond with anything actionable.