It's because you are expecting that
embassy tags are set on a relation.
Looking at TagInfo for amenity=embassy, you will see that nearly no relations were set with this key/value combination.
It's in fact normal because if you look on the right panel of the OpenStreetMap wiki for the tag, like in the following screenshot, you will see that relations should not be tagged with this key/value combination (part "Used on these elements")
To fix, your issue, you should clic on the link in the bottom-right named
overpass-turbo (see my second screenshot below) and remove the reference to bbox. The remaining job will be to change the syntax to export to CSV instead of the default