Object files create a separate texture mapping file. If you used image textures, you will likely find them in the .mtl file.
The prompt asks for a datum plane or coordinate system.
Is it possible you are trying to export surface geometry?
Object files are facet files. You can probably use any of the facet export formats and import them easily. .wrl and .stl are also facet files.
I just exported a native Pro|E file to .obj and it created the file from a massive sheetmetal solid part without issue. Creo 2.0 M040.
When I try to export a surface object, the dialog prompts for quilts but even with one selected, it does not export it.