If it’s of any comfort, at least you’re not alone. 
I’ve received a mail from OpenAI that they’re “looking into it”, but that’s a non-existent promise for anything; I’d suggest just copypasting or scripting the data you really want or need – preferably with a copypaste method where you actually keep the formatting. OpenAI’s reply of “looking into it” doesn’t guarantee anything.
ChatGPT’s entire website is such a JavaScript cesspool from hell that in many cases it makes DIY automated exports pretty unusable, especially if you want to keep the formatting – this is regardless of what kind of a scripting solution you come up with.
There are some export scripting methods (such as using a bookmark script etc) mentioned in this now-closed thread: Export Chats in ChatGPT-Team – although the website has changed many times since those were posted, so many of the examples no longer work.
A quick copypaste setup/macro is probably the best solution you can hope for at the moment.
I do recommend contacting OpenAI’s Help Center directly at https://help.openai.com/ and mentioning that this is completely unacceptable (and possibly a GDPR violation) – maybe if a critical number of users raise some noise about this, things will change. I know; wishful thinking, but at least you’ve made your voice heard.
Best of luck to you.