I have tried printing a DHL Parcel UK shipping label and am seeing an error returned:

Validation failed. Service is invalid because Exchange on delivery is not available for the selected delivery service 


'Exchange on delivery' option is not available on services that allow Neighbor signatures (for example service code 1) and instead should be used on services where recipient signature only is expected (for example service code 220) 

This can be checked via > Shipping > Integrations > Services > Edit

To resolve the error you would need to disable the 'exchange on delivery' option or alternatively use another service for the order.