It should be on FR. are you certain you were on the lowest level and also on the intersection that was loaded from FDMEE?
have not checked FR on cloud yet but did you check if the report has been configured with drill through enabled?
Piggybacking on Francisco's point - in FR you need to select your data grid and enable the drill through.
You also need to be at the lowest level of detail for every intersection - a good test is to get to the lowest level in Smart View - replicate the grid in FR and test it that way.