I am unable to download some email entities, I already have the Preview role, what am I missing? Is this feature not available to all emails?

Hi!

I am currently trying to use Explorer feature(from Emails & collaboration from Microsoft Defender) to download evidence of an email that was sent to an external recipient. I have the Preview role already assigned to me and some emails entities already allow me to download it. However, it still does not allow me to download certain emails, can someone help me in this matter?

Thanks in advance.