To use your SD-Card for exporting calendars you have to choose “Document provider” instead of “Internal/External storage”.
Then you can click on “Select/Create file”.
The document provider picker will open.
When opening the drawer on the left, you will see all possible locations where you can store your file.
If you don’t see your SD-Card, open the menu.
There should be a entry “Show SD-Card”. When clicking on this, you will have a new “SD-Card” entry in your drawer.
Click on it, choose the directory and enter a filename (file extension .ics is recommended) at the bottom of the screen.
Then click on save.

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