I have setup calea server and sender as per the wiki
https://wiki.mikrotik.com/wiki/CALEA

I can see packets being sent by the intercept client and they appear to be getting to the calea server (I can see traffic on the interface suggesting this)

But I see no files in the created folders and when I do this command:

/tool calea print stats
Flags: X - disabled
# CASE-ID CASE-NAME ACTION ACCESS-... BYTES PACKETS
0 100 pcap 3 0 0

I really am scratching my head to think what could be wrong here?

I have tried allowing everything in firewall rules between the routers but it doesn't help.

RoS version is 6.40.4 on both