The reports setup is rather convoluted and not intuitive.

When adding a new site, this is where it should ask you if you want to enable reports and the email address to send them to, as part of a setup wizard.

It took me quite a bit of hunting to figure out how to do this, as it is hidden away under Reports -> overview -> select report template -> email to & Integrations.

With all those extra steps, it is way to easy to forget to setup the report for a new site.