Hi,
Please give us a backend and a FTP access, I will fix these issues, even if for the moment I don't find logical reason for the export data one.
In the message with the accesses, message which can be sent through our contact form, don't forget to give the path to this topic, and I will also need the informations related on the path to fill and the website url.
These informations will allow me to set the correct path of the file which can be sent via email (mass action settings).
Sending this file via email can solve all your problems, you will be able to download the csv file without having to connect via FTP and the second action will be launched correctly.
One more thing, as you were having the "export csv" and "order status change" in the same mass action, changing the order of the actions, so in your case change the order status before exporting the csv file should not cause any problem as the elements are filtered only one time before launching the actions. So I think that this combination can be tried, else once again thanks to the access, I will have a deeper look at your issues.
Do you have the latest version of HikaShop installed ? The 2.5.0 which can be downloaded from our website ?
This release has some fix related on the mass actions, some of them could be related on your issue.