Please read the help article on Export. It clearly states:
Because TIDAL and Qobuz content is not stored locally, it can only be exported to Soundiiz or Excel.
If you want to import a Tidal or Qobuz playlist to Roon, go to the Tidal or Qobuz Playlist page in Roon and use the “3 dots” menu for a Playlist and choose “Save a local copy”
You still won’t be able to “Export” the playlist to a set of local files, because they are not local files to start with.