tl;dr:
(1) Give animations names with special characters.
(2) Export animations as image sequences.
(3) "Sorry, Spine cannot write to the chosen location. Please choose a different location and try again."
The longer story:
I'm not sure if you could call it a bug. But I also don't know what's a good way to address this minor but kinda obscure issue:
You can pretty much name your skeletons and bones and slots and animations whatever you want. The only restrictions are practically that you can type it and that a string can store it. So special punctuation characters are perfectly fine, which is really useful for when you want to group certain things in the lists. For a while, I used a lot of * and > and .
However, whenever the the name is used as a filename somewhere, as in the case of the skeleton name in the case of exporting the JSON, or the animation names in the case of exporting frames, these special characters definitely will not work.
The good news is that Spine's robustness currently prevents you from actually proceeding with the saving process and gives you an error message. Unfortunately, the message you get is relatively non-representative of the actual thing causing the problem:
"Sorry, Spine cannot write to the chosen location. Please choose a different location and try again."
I was fortunate that I immediately suspected my animation names of causing the problem. But I hope some other people can steer clear of this problem. My recommendation for other users for now is to keep your skeleton name and animation names something that you can also use as a filename. You'll never know when you'll need to export frames.