Great feature. Couple of things to note--this downloads data in a different format--export to excel in d365 exports to a spreadsheet with a table, this downloads a zipped csv. Both have their advantages. This is better if you are downloading large amounts or data. The excel export is better...
direct link to the video: https://www.youtube.com/watch?v=TgxpuLun2s4&t=461s
for some reason my video in the post doesn't show up. Here is a link to it. https://www.youtube.com/watch?v=TgxpuLun2s4&t=461s
Global quick search is limited to 10 entities, one of which can be the activity entity (so that gets you all of the activity types).