Hi Pierre-Frank,
The same issue occurs with the new feature in v12.1.1 called Allow users to access data.

You need to enable this feature from the dashboard Properties.
Then when you click on a widget, you will see a new Export to CSV icon.

When you export the CSV file, the same issue occurs:

I've logged a ticket with IBM support on this issue: TS020705783.
(Updated to add case number)
Best regards,