Posting this here in case anyone else has the same issue. I have already raised this with Microsoft Support, but I am yet to get an answer. I will post any updates when I get them in case it helps someone else.
The Issue: Using the Export Report In Group function as explained in the docs is returning a JSON object and not the file data as documented. This is a change in behaviour that started this week .
As the documentation does not match what is being returned - I have no idea what is going on. The service returns a status code of 200 (success) so it is not considered an error.