There's documentation here that has pretty solid detail:
https://my.phantom.us/4.2/docs/admin/splunk
sign up for an account at phantom.us - it's free.
However, the TL;DR is, in order to export data via a data model search, you need datamodels defined in your Splunk instance/search head - those datamodels will then have "objects" in them which should "un-grey out" the "select object" field. If you want a quick test, install the Splunk Common Information Model (CIM) app on your Splunk instance. Restart splunk after install and see if the dropdown is still grey'd out.
https://splunkbase.splunk.com/app/1621/
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