Normally, when you export the members of a list, the pop up will show a hyperlink to download the file. The screenshot already gives you a great hint though. It says "No ECIDs were exported.", so what you were trying to export contained no members and therefore there was nothing to download.
As @sanfordwhiteman said, an export will not remove a person from the database. So I would do some checks:
- Does your blocked overview still contain people?
- If not, can you replicate your original audience, adding the regular blocked criteria to see who should have been in your export?
- Do you still have an example of a person who would have been in your blocked list so you can check in the Database section whether that person still exists in Marketo?
- Do you have a standard process removing certain groups of people from the database that could have interfered here?