The download action is a read action of the file from the file server for within user context. The file will be downloaded for the user to their designated folder on their own system. Downloads folder,…. or whatever they have set or select.
A scheduled event runs not in an app user context, but in the context of the server user. So there is no designated folder. it cannot be pushed outside the app so to say.
I guess you want to use the file after this microflow in a integration action. like sending it by email, send over a REST api, whatever integration. In that case it isn't needed to download it. Only use the file object in you logic.
Are you able to run the export microflow directly?
One option to trace the root cause will be to set the log level to trace or debug “Advance > set log level” you can try connector & TaskQueue. Or debug it.
Do add error handling for excel export. ‘Right click → Set error handling’ and then set log activity.