You can save it to SVG by clicking the SVG button.
It does not support other format of output right now. But our WebSEM program (https://websem.psychstat.org/ ; semdiag is a part of it) can save a diagram to PDF and PNG. It requires you to register as a user, but you will be able to save your work as well as conduct SEM analysis directly within the web browser. It's free.
If you don't want to use WebSEM, you can first save the diagram to SVG and then convert it to PDF using the online tool here https://cloudconvert.com/svg-to-pdf.