Based on my tests, I add an external user and the user can use cross-report drillthrough successfully. I wonder if you have set the corresponding following report setting as on in both target report and original report in Power BI Service.
For more details, you may refer the document . If it still doesn't work, I'd like to suggest you open a support ticket here .
If this post helps, then please consider Accept it as the solution to help the other members find it more quickly.
I was able to get it to work as an App, so if anyone expereinces a similar issue you can try creating an App and it should work. Also check to see if your workspace has been upgraded, I'm pretty sure mine is, but I'm having trouble finding if it is or not (it should be).