We had this tested using Studio One Pro 3.3.1 on a windows 10 machine.
When we create a new score, the directory option for the export of the stems is the new file that is created.
As this is working here and it's not working for you, you'll need to do some preventive maintenance on your Studio One install.
To resolve the issue you are having remove your settings files for Studio One and re-configure.
Here are instructions:
1. Go to Help>Open Settings folder.
2. Copy the contents of the folder over to a folder on your desktop.
3. Close S1 and delete the contents of the settings folder with the
exception of the user.license file.
4. Open S1 and go to Studio One>Options (Preferences on a Mac) to
reconfigure your settings.
5. Test to see if the problem is resolved. If it is not, please feel
free to copy your settings files back over from the backup that you
created in step 2.
*If you are missing presets or Sound Sets after doing this, simply
double-click one of your Sound Sets under Documents>Studio One>Sound
After you have done this, please go to Studio One>Options>Locations
and verify that you have the correct location set for your User Data
folder. By default it is set to Documents>Studio One.