I realized after hours of trying to export my payroll transactions that my Safari was blocking Intuit pop-ups, so I went to Safari-Preferences-Websites, on currently Open Websites and on the app.qbo.intuit.com I changed to "Allow", this did it!

Then went back to Quickbooks Payroll, press Export and it finally the file downloaded in my Downloads folder and then I was able to click the file and it exported the transactions.

Hope this helps!