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I think you may be looking at the old admin console reports dashboard (based on the Download data: Members link reference above) as against the CMR reports dashboard.
This report and the enhanced export in the new CMR 126.96.36.199 release should be available on the CMR dashboard (global/community wide reports dashboard). You can access the CMR global dashboard by choosing the "Community Manager Reports" option in the Manage dropdown that you get upon logging in (the same one you use to get to the admin console from the main site).
Let us know if you are still running into issues.
Thanks, Rohit - didn't realize there'd be two places to look at admin reports, now!