The reason for this is that it's SAS writing the file, not EG...and it's writing the file on your Linux system, not your PC.
You might need to export the file to a location on Linux, and then download to a location on your PC (or on your local Windows network where your SharePoint site is). You can use the Copy Files task (a custom task you can install) to accomplish that.
If you want to push the file directly to SharePoint from Linux, you need to use either a shared network location that you can address from Linux or use a SharePoint web service via WebDAV or PROC HTTP.
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