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Windows:
"%ProgramFiles(x86)%NetskopeSTAgent sdiag.exe" -o "%USERPROFILE%DesktopNetskope.zip”
 
OSX:
"/Library/Application Support/Netskope/STAgent/nsdiag" -o ~/Desktop/Netskope.zip

I've been using this for quite some time on OSX:
"/Library/Application Support/Netskope/STAgent/nsdiag" -o ~/Desktop/$(whoami)-$(date '+%m%d%Y')-Netskope.zip