Exporting Image files (intermittently) doesn't work:
I get messages back indicating the error is to do with escaping characters:
Syntax::stresc: Unknown string escape \\U.
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I am answering my own question to help out other .Net/Mathematica developers in the future.
For example when a file name starts with an r as per the screenshots, it treats the
\r as a newline, a CRLF!
Using forward slashes rather than backslashes resolved the problem: