Exporting a PST file from 365 requires about 20 more steps than actually necessary, there are a few issues that you may run into along the way even if you successfully jump through all the hoops. The two key pieces of information are:
Update .NET to the latest version and use the Microsoft Edge browser
For some reason, I couldn’t use their export tool on IE or Chrome. The process is pretty straightforward after that. Go into Security and Compliance > Permissions > eDiscovery Manager. Make sure the following roles are selected (RMS Decrypt is probably not necessary).
Export, RMS Decrypt, Review, Preview, Compliance Search, Case Management, Hold
Click Choose eDiscovery Administrator below that and make sure your account is added to that list. Go to Search and Investigation > Content Search > New Search > find the Modify button and select the user’s mailbox. Save and Run the search. Wait for the search to finish, select the result > more > Export Results (the default settings should be fine). Click the Export tab > Download Results > copy and paste the key and you should be all set with a little luck. Why they make you do this when there could be an option within the Admin Users section, only Microsoft knows.