Password Required For Data Export Help

We use SSO to log into our instance of Eloqua. However, when you export data say, from a Segment, it requires a username and password to download the data. The data we're trying to get, to my knowledge, is not something we can get through Insights - Segment Data.

I tried submitting a Support Ticket through My Support, but oddly enough, they told me that I should ask this question here and not through My Support which I find extremely odd.

Has anyone else ran into this issue? What did you come up with as a solution? Thanks!