All of this KMZ stuff is a hack and requires some manual processes that are not super user friendly unless you are using Android 10 or earlier or using iOS.
From the video here it says that it goes in the Downloads folder.
I don't see an account for you in the system so I can't see what version of the app or what kind of device you are using.
Please post a screenshot of what you have planned before you hit the Export button.
Make sure that you have allowed Map Pilot Pro to be able to write files.