Same problem here: I use Spotify with a Facebook account.
The future I try to use is the: Account -> Privacy Settings -> (at the bottom) Download your data
I have done step 1 and requested the data and received an email saying:
"Your personal data is ready to download
Your personal data is now ready for you to download. Log in to your account page and click DOWNLOAD below to begin.
The file will be available to download for the next 14 days."
However when I attempt to access step 3 (that is available now) then I get prompted fora password... but... Spotify should not have my Facebook password as it should be handled by Facebook.
Ignorant as I can be, I have entered my Facebook password, left the field blank and even typed in "Facebook".
All the same result, the "check" button is grayed out and it does nothing after that.