I can't seem to find the option where I can export to a shapefile. Am I missing a step? It only allows me to export as a feature class. The tool description says that I should be able to export as both.
It should automatically export to a shapefile because your export location is a standard windows folder.
You would need to export it directly into a geodatabase to get a feature class.
I find it a little weird that the tool window doesn't differentiate between Feature Class or Shapefile until it automatically appends the file path if it's in a standard windows folder. But this method works for me too.