This issue had already been brought into the notice of concerned people and is a known issue for LMS version. The developers are investigating this issue and will consider a fix for a future Update or Release.
Downloading reports is not currently available in the LMS integrated version of MATLAB Grader. The report link is on the Assignment level, where you export a report for all problems in a given assignment. The documentation sates that this is on the assignment page. Since there is no concept of an assignment page in LMS for MATLAB Grader, there is no equivalent interface.