Hi Sonya, kindly confirm if you have selected an icon set or a folder of icon sets under "Icon Group" (or if the item you highlighted is written in italicized font). If this is the case, I'd like to clarify that you can't export an icon group or any icon set that's inside a group (that's why the "export" option is inactive).
To export a specific icon set, or 2+ sets, please select / highlight from the ones listed above "Icon Group" -- if you right-click your selected icon sets from there you should be able to access the Export option. I've attached a screenshot to illustrate what I mean.
I hope this helps!