I can not export an image even though everything is selected…
To export an object, you need to add export settings to it. In the right side menu scroll to the bottom and you will see Export. Click
+ to add export settings, choose the format and click export button below. The menu action that you are trying to use is used for bulk export of objects that have export settings already. And it says that in the window on the screenshot too.
Here is a video about Exporting and Importing in Figma: