After contacting their support, I was asked to try again and managed to make it work, albeit partially. The plugin works fully for me as an Administrator. Other users get access to the options but when they try to run, it fails.
Tried on different machines, same result.
The dev requested me to give him a temporary Admin password to try to sort out the issue. This is preposterous: I’m not going to give Admin permissions to a person I don’t know outside my business.
Instead I’ve installed the plugin below which did the trick
https://en-au.www.ads-software.com/plugins/woo-order-export-lite/