I was able to successfully update the withdrawal addresses using:
(skipping offline steps for simplicity)
ethdo validator credentials set --mnemonic="abandon abandon abandon … art" --path='m/12381/3600/0/0/0' --withdrawal-address=0x0123…cdef
When trying to exit the validators using the exact same parameters:
ethdo validator exit --mnemonic="abandon abandon abandon … art" --path='m/12381/3600/0/0/0'
I received an error that no validator was found