At macOS Catalina, I followed this steps to set secure_file_priv
1.Stop MySQL service
sudo /usr/local/mysql/support-files/mysql.server stop
2.Restart MYSQL assigning --secure_file_priv system variables
sudo /usr/local/mysql/support-files/mysql.server start --secure-file-priv=YOUR_FILE_DIRECTORY
Note: Adding empty value fix the issue for me, and MYSQL will export data to directory /usr/local/mysql/data/YOUR_DB_TABLE/EXPORT_FILE
sudo /usr/local/mysql/support-files/mysql.server start --secure-file-priv=
Thanks