Unable to export .p12 certificate from Keychain Access
I had the same problem when logged in via VNC / remote desktop - it appears that if your mac detects a 'security risk' it will prevent you from pressing the "Always Allow" / "Allow" buttons.

No error message is shown and the box doesn't shake (although the button does highlight blue when clicked.)

The same issue seems to exist with KVM programs such as Synergy. 

To solve the problem, simply log in to your mac using a physical keyboard and mouse, ensure remote desktop / KVM connections are turned off and try clicking the "Allow" button again