I just re-tested, and clicking link displays the message "Your account export request requires email confirmation. Please check your email for a link to export your data. This request is only valid for 24 hours." , and it sends the email too, and clicking the link downloads directly the XML file with profile details.
If mail doesn't send, check your Joomla Email settings in the Joomla Global Configuration, Server settings tab, Mail settings. We recommend using SMTP with email provider parameters, and not "PHP Mail" for best results. Once saved there is a "Send Test mail" button below the settings that allows to make sure that your mail settings are correct.
Btw, did you see our CB Privacy video tutorials
www.youtube.com/playlist?list=PLp0puRITgC7PyiMVKzL-3WKX9Z1iNIyah
?
(i't in Support / Videos menu).