Antonio,
You should be able to export to shapefile. The error you are getting may indicate that you have attachments on your data, but even if that is the case it *should* work.
I was able to successfully export on my feature services with attachments directly to shapefile without issue. I right clicked on my layer in my TOC and chose data -> export data.
I would suggest contacting Esri Technical Support to get it sorted out if that does not work for you.