Try selecting / tick ing the DLP Incidents in DLP Incident Monitor module.
The export option will not be grayed out after that.
DLP 9.3 Patch 5 and 6
This does not work for all Events at once. You can select ONE Page (The current) and the Export into .CSV an Jump into next page and export.
If i choose select an all pages and Export the Options is greyed out > I have highest security and roles.
I think its security related since it's 99% confidential info.
Exporting from SQL tables i am not sure if that even works or the data is encrypted in there so no DBA can export and hide his traces.