Check this out…it answers my original question.
An office 365 Enterprise E3 or E5 license is required to do Activity Logging, including D365 activities. There is a list of events that are audited, and it includes Exports to Excel and Report Viewer exports. If you have the right license, you can review the audit data in the O365 Security and Compliance Center.
"To turn it on, click Start recording user and admin activity on the Audit log search page in the Security & Compliance Center."
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