Oddly, we upgraded to a new server (for other reasons) and it started working. Not much help as to the root cause but it’s going ok here.
I’ve also got an issue with these reports. I see the “you will receive your file via email shortly” message, but never receive the email.
Looking in /wp-content/uploads, I can see that the file is created (which is great), but my users don’t have access to this folder.
WP Mail Log shows that no email has been sent (all other emails are there).
Scheduled Actions shows that both woocommerce_admin_report_export and woocommerce_admin_email_report_download_link have completed.