It seems this happens from time to time due to Azure problems. For anybody who encounters this, the perfectly adequate workaround is to use Sql Server Management Studio, select the database and Export Data-Tier Application.
Here is another post on the same issue: http://social.msdn.microsoft.com/Forums/windowsazure/en-US/bb66505e-7008-4555-b8cd-eec9ae25066f/unable-to-export-db-via-portal?forum=ssdsgetstarted