For anyone trying to figure this one out still, I had the same issue. Finally created a blank PHP page, threw in a recordset, and the extension worked fine, not sure why it made a hassle though.
Also, for people who wish to have it export data from a different element (e.g. a custom table, with or without a recordset on the page), create the element, make sure you label it, then create a text or button or whatever to trigger it to be exported. Select that text, then from the Behavoirs window, add a new behavior for UDE (in the list under DMX Zone). Little bit annoying to have to dig deep to find that out, but works great so far!