The plugin creates only two webpages: one in Site administration > Users > Accounts and the other in Site administration > Courses. In my Moodle installation I can't seem to find a Course Admin entry, would you care posting a screenshot or the the full path for the entry?
The users you download are tied to the courses on the site. Downloading users works by retrieving a list of all the courses, and then for each course a list of all the users that have the roles you requested. This list of users is what is downloaded.
For example, let's say that user U has the role of 'student' in course A, and the role of 'editingteacher' in course B. You request all the users with the role 'student'. User U will appear in the downloaded file as only having the role 'student' in course A.
If you were to request all the users with all the roles, then user U will be downloaded as having the role 'student' in course A and 'editingteacher' in course B.
If you want a more complex filtering of users, I suggest you download a list of the users with all their roles then use Excel or Libreoffice calc to apply filters on the fields.
In the current version, from the web page you cannot specify more than one role for the users, but you can do so from the terminal by using the cli script from admin/tool/downloaddata/cli/downloaddata.php. I am working on a version where you can specify multiple roles (for users) and fields (for both users and courses), similar to what you can do from Site administration > Users > Accounts > Bulk user actions.