One point to note is that we use our own internal log in process that does not utilize any methods provided by apex. Effectively being a public site. Not sure if that is the issue ?
That is indeed the problem. Private interactive reports can only be saved from properly authenticated sessions: Saving an Interactive Report Filter using custom authentication
Your "internal log in process" may be sufficient for the user identification requirements of the application, but to create private you will need to use it to create a custom authentication scheme.
Thank you. This now makes perfect sense.