Clicking a column header doesn't sort the table
Confirm the column is on the supported sortable list. For Job Custom Fields, only single-select, date, number, and money types are sortable, other field types won't respond to a header click.
A column I selected for export isn't in the downloaded file
Reopen the export column selector and confirm the column is still checked. If you're exporting from a saved Advanced Search, re-check your column selection there specifically, since the Jobs page and Advanced Search exports track their column choices separately.
I don't see the new columns in the column selector
Refresh the Jobs page. If the columns still aren't there, confirm you're looking at the Jobs page or Jobs Advanced Search column selector specifically, other entity exports (Candidates, Contacts) have their own separate column lists.