I ran into the same issue a few weeks ago and Microsoft shared the following fix and that resolved the issue for me. You will have to try this fix with a tenant admin account.
The reason for this error is that the tenant admin needs to grant consent to Microsoft's 3rd party app once in Azure Portal, and from that point onward any Marketing/Sales exports from CI should not have this issue. We can work around the issue by resetting and re-granting admin consent to the app. You can do the following steps with the tenant admin account:
1. Go to portal.azure.com – you need to login as tenant admin
2. Search for Enterprise Applications
3. Click on All Applications (left dropdown)
4. Search for the app called “Customer Insights Dynamics 365 For Sales Export”
5. Click on Properties (left navigation bar)
6. Click delete to delete the app from your tenant.
7. The next time you use the connector in CI (again here, with a tenant admin account), you will get a new consent window. Check “consent on behalf of …” and click Accept. Consent will be remembered, and you will not need to do it again.
