Hi,
When this setting is activated, the plugin will automatically export the orders to MyParcel when the order status changes from another status to a status enabled in the column "MyParcel" of the order statuses listing.
It uses the same process as when you select an order in the backend orders listing and click on the "export" button at the top. Is that working for you ?
Also, this is supposed to be triggered automatically when the order is confirmed by the payment plugin, but you can also manually trigger it by changing the order status in the backend order listing. When you do so, if that doesn't work, you should get some error message displayed. So I would recommend to try that out.