You are trying to export a PDF report for a CASB/CloudSOC Audit service as per the documentation: Export Cloud Service Details
The email you receive contains a link to download the generated PDF as expected, but when you click the link you are just taken back to the CloudSOC console. No download occurs.
A pop-up blocker is active for the app.elastica.net site in the browser
Clicking on the pop-up blocker icon in the browser's URL bar and allowing pop-ups from elastica.net resolved the problem.