We would like to export line items from Fulfilments.
And we want to see each items' SKU or we want to categorize them based on other details.
I think you can do this via Shipments:
Go to Shipments, apply all the store, date, etc. Filters that you need, then click "Export", choose whether to export your current view only (this won't export other pages if you have results on more than one page) or selected lines only.
Then choose how you want the results exported (Shipments or Shipment Line Items). Then click "Create new format", give it a name and choose all the content headdings you want to have in your report. Click Save Export Format, then choose this new format in your export format list and press Export. You download will start automatically once ready. The download will be a CSV file.