Export Vector Colors in FBX

I’d like to export a mesh as an FBX and have it include vertex colors. I can see that it has colors in the editor because it has a shader attached which uses the vertex colors (there are no instance vertex colors).

If I choose File->Export Selected I immediately get a windows save file dialog. I.e. there is no dialog that allows me to choose whether to include vertex colors etc. If I view the exported FBX in a FBX viewer or import it back into a UE4 project there are no signs of the vertex colors.

Documentation here (FBX Static Mesh Pipeline in Unreal Engine | Unreal Engine 5.1 Documentation) seems to suggest that there should be a dialog where I can choose to include vertex colors.

What do I need to do to export vertex colors in an FBX?

(I do not have access to the original asset that the mesh was imported from)

It seems like, whatever vertex coloring done inside Unreal editor doesn’t exported out correctly.
If the mesh had a vertex color when it was imported to the editor, that color information get exported correctly when you export it back from the editor, but any vertex color painted inside Unreal, seems to be ignored…