Our work is using Microsoft Teams more and more lately and a new feature that has been turned on was Shifts for Microsoft Teams.
There is a feature (at time of writing) that allows you to Export the Shifts schedule to a Excel spreadsheet.
However, with the current version of Shifts there are some interfaces that are missing or lacking. For example, when you do this Export of the schedule, there are no prompts. None. Nothing to ask when you where to save the file, nor that the export was completed.
So after some digging I have found out that, when you do an export, the Excel file is save to your default Downloads folder.
It should be clearer that this is happening, and hopefully they fix this up and make it more obvious in future versions.
Thanks to this forum thread for the answer.