Hmmm, let's see... Looking around... and... Nope, not an option for me. I am not permitted to check the feature on the particular channel I'm logged into at the moment. I am a lesser user, without admin privileges, accessing a paid channel.

Meanwhile, on another channel, under the Customize Slack menu:

  > Compliance Exports
  > Compliance Exports are not enabled for your team. Learn more and apply for Compliance Exports.

Looks like not everyone is allowed to access every feature or inspect all settings on every Slack channel they belong to.