Hi Bruno,
MS changed a bunch of security settings in 2012 Server. Check the permission on the IIS \temp folder. When BOE SDK Exports it first tries to write the file to disk and then delete it to validate if it has full read/write permissions.
Since you are seeing a "~" in the name it means it tried to write a temp file and then failed due to permissions. Normally you would see the full file name as you normally do, with no tilde in the name.
If it has rights then check your AV and Firewall software settings, it could be blocking access...
Don