My organization loves XFGetCells and a lot of our FP&A users have retrieves pulling 25,000-30,000 data cells. Typically, I recommend two things when facing issues similar to what you're describing.
1. Ensure the entire workbook has been refreshed before attempting to save offline copy. If the entire workbook isn't fully refreshed, it will appear that the offline file saved but you won't get the desired outcome.
2. Review your preferences in the Excel Add-in. The below screenshot of my setup has always worked for saving offline files.