On-Prem export data not possible

We are a public sector company with a local internet running on local Active Directory Groups

So that we don’t use or manage our AD groups through Office 365 or Azure Active Directory.

As an administrator I have installed Power Bi Report Server and have published some reports to the web portal. My problem is that users, including my own, don’t have the option to export data from any visual or table (we only see the show data option).  I have been searching for many days for a solution but all solutions end up with defining the BI Service Administrator role at Office 365 or AAD (which we don’t use). Any help on how to get this done will be appreciated.