CloudExtend Excel for NetSuite Office Add-in currently uses NetSuite WSDL version 2016.2 to interact with NetSuite. This version of NetSuite API has an issue retrieving the list of Saved Searches, if that particular record has more than 1000 Saved Searches.
This issue may be fixed in the most recent releases of NetSuite API and Celigo is working on bringing you this feature as soon as possible. Do look out for an announcement via our release updates here.
As a work around, you will be able to enter the internal Id of the saved search to download the data.