Happens to me with every exported file I try exporting that way, the scene Lighting Environment has a material for a skybox using a .exr file but the model I am exporting has 1 material on it which is Shader Graphs/glTF=pbrMetallicRoughness
Can of course be argued that it should be configurable
But for testing assets outside Needle engine please use Assets > UnityGltf > Export Selected as GLB