This might be for two reasons:

1. You need to be check the 'Extrude Individual Faces' checkbox to extrude faces along their individual directions.  With this unchecked and all faces selected, the add-on does not know which direction to extrude all faces from (the extrusion Vector will be calculated to be (0, 0, 0) ).
2. Try clicking the mouse button and the side menu options will appear - this is a known issue where sometimes the interactive extrusion will not always follow the mouse.

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