Copy data on ArcGIS REST services to shapefile

[deleted-user-em7ximwnCoo9]

I am using ArcGIS Pro (v 2.5) and would like to analyse data held in a REST services directory (e.g. the layer held here: http://geoportal.menlhk.go.id/arcgis/rest/services/KLHK/Penutupan_Lahan_Tahun_2006/MapServer). I can add the data to ArcGIS Pro, using the URL. However, I can only view the data and have no way of extracting/clipping/exporting as a shapefile etc. I would be grateful of any help in how to transform the data into a usable format, if this is possible (ideally shapefile). 
Even if there was a way to clone the date, or overlay to copy the data into a shapefile.

thanks! 

[JoshuaBixby]

Ella Wooden‌, regarding some GeoNet/forum mechanics, I converted your Discussion to a Question since you are asking for help on solving a problem.  Also, I stripped your text formatting (white text on black background) because it made reading your question more difficult.

[JoshuaBixby]

Feature Class to Feature Class—Conversion toolbox | Documentation now handles exporting map/feature services.  I am not sure if Feature Class to Shapefile does, but you could test it.

At the moment, I can't test exporting the service because it isn't loading correctly in Pro for me.  It appears to be a service initialization issue on the server since several of the REST pages aren't loading correctly when I view them in my browser.