Miscellaneous topics that do not fit into specific categories.
Are you using an organizational (i.e. work, school) account, or a personal Microsoft account? I've encountered the same problem with my organizational account, regardless of the platform I access Copilot through, and while I haven't found any documentation yet, I suspect it might be a setting that needs to be configured by administrators in your IT department. MSFT usually makes enterprise organizations opt-in and manually enable any functionality that has the slightest potential to put a nervous corporate lawyer in a tizzy.
Note that there is still an option to 'export' each response, and it's surprisingly snappy at generating the file, but be warned, it does NOT include the references and citations, nor does it include your prompt - it is ONLY the text of the response! Links that are included inline the response are only preserved for .pdf and .doc as formatted hyperlinks; the *.*txt version does not include any of the markup or formatting from the response; this means you can lose a lot of data, from emphasis and headings to ordered lists, delimiters, and URLs.