My exports do not include my changes to my photos

I am using Adobe Photoshop Lightroom Classic 11.4.1 on a PC Windows 11 Home.

I am a new user who has watched the tutorials. After uploading some photos, I've made some edits to them in Developer. I understand that these changes are only visible within Lightroom. My understanding is that I then export the photo and my changes will then be made into the file, so that I can see them in Windows Explorer, Windows Photo, etc. However, when I export the file, the resulting file does not include any of the changes that I made in Developer.

I did see a comment online about someone having this problem, and they advised people to change a setting in Adobe. I didn't really undertand why this would be a setting and why this setting would be by default unchecked--wouldn't everyone want to export their photos with their changes? This solution doesn't make sense to me. But regardless, I tried it, but changing this setting does not have an observable effect on my problem.

What is this newby doing wrong? Thanks for your help!