Hi,
In the "export path" setting of the action, you need to enter the path of a file where it will be stored. For example: /address_updated.xls
Also, please make sure that your website is able to send emails.
Finally, for your tests, you can go in the menu Customers>Emails history to check the new emails listed there when you edit an address. It should add a "mass action" email entry there corresponding to the email sent to you by the mass action.
If you see the email there but you don't receive it in your email box, then the issue is with the sending of the email by your email server.