That's right. To export data with Reader the forms needs a special right to added. This can be done only through a LiveCycle server module called Reader Extensions (LCRE).
A workaroud would be to email the forms and attach the xml data.
1, I would like to ask where to download Reader Extensions (LCRE) module?
2, I have purchased Adobe LiveCycle ES4, do I need to buy Reader Extensions (LCRE) module?
LCRE is not a simple piece of software you can download, it's a module for a very expensive LC server (not LiveCycle Designer).