If an incident report is run from the Incidents Report panel that will generate a large number of records/incidents it generates the message "This report is very large and will take several minutes to generate. Please navigate to Reports Management to view the report after a few minutes." This is fine.
However if I run a smaller report (i.e. it does not have a large number of records and therefore doesn't generate this message), the report appears to complete successfully, it shows up in the Jobs panel as completed, but no report is generated (nothing shows in bottom pane of the Incidents Reports page).
In summary, I can only see reports that generate large number of records.