Hi Clive,
Under your current configuration, in order for a managed disk to be accessible for download it must be a) unattached or the associated VM must be Deallocated AND b) a SAS must be generated. In order to generate the SAS, the user must have necessary permission to the disk.
To better familiarize yourself, you can perform some quick tests. Create a new resource group, and in that group create a small (B1S) Ubuntu VM with Standard HDD 30GB, no public IP, etc. After creation, immediately Stop it using portal so that it will be Deallocated and not accruing compute charges.
With this test VM, navigate to its managed disk, click Disk Export blade, click Generate URL button. Once the URL has been generated, if you want you can download the VHD (this will accrue bandwidth charges) or just click Cancel export button.
Additional tests you could do is give another test user account access to the VM using role assignments, sign in as that user using a different browser profile, and then see if the user is able to generate URL and download the disk.
Once you are finished testing, please delete the resource group so that you don't accrue any more charges over time.
Please click Accept Answer and upvote if the above was helpful.
Thanks.
-TP