I always do "selected", and have my armature + the mesh which it uses selected.
I don't know about the "first animation" part, but it does help as Blender can be a bit wonky when it comes to assigning animations to multiple different armatures (this is likely not the problem with yours, as this bug just makes certain animations not export).
As for Forward and Up, I leave those unchanged and it works fine I think.
This could also potentially be the issue: The origin of each mesh in the armature has to be at [0,0,0].
If you're still having trouble, you can upload the .blend file and I'll have a look at it.