What you’re doing is correct, but it’s only half of the job. When you export the labelmap from a segmentation, it is exported to another MRML node in the Slicer scene, a labelmap volume node. You still need to save that labelmap to disk. You can do it by clicking on the Save button in the upper left corner, deselecting everything except for “2: RTSTRUCT: 1-label”, and choose nii.gz (or the format you want) in the dropdown menu in the row of the node.
Btw I can see some triangulation error in the body structure, see coronal view in your screenshot. That gap will be there in the nii file as well. You can fix it in Segment Editor if you want, or we can take a look at the dataset and try to fix it, but it can take a long time.