The file name field is not present in Endpoint SMTP and HTTP incident snapshots. Accordingly to that, the CSV report won't have any value in the file name column for those incidents.
An enhancement request has been opened to implement that option in the next versions.The enhancement request ( PM 1680 \ PM-1669 ) are related to this request :
PM-1680 : Include filename in the incident snapshot.
PM-1669 : Reporting: Report summarized by file name