Nothing was removed — the option is still there, but it’s labeled Export Transcript now (it still saves a .md file).
Try this first: right‑click the chat tab in the tab strip at the top of Agent/Chat and choose Export Transcript.
If that chat is open as an editor tab, use the ⋯ menu on the editor title bar — Export Transcript is in that menu. Note: Cloud Agent chats can’t be exported this way; you’ll get a message that export isn’t available for those.
For extra safety around big upgrades, checkpoints are also worth using.