This feature was added in v2021.6
Check out our release notes for more features added in this version v2021.6 - September 2021
My Downloads can be accessed via the User Icon from the main navigation menu.
Exporting a large dataset from Reports can take some time when the export is too large the user will be notified that a background/server-side process will handle this large export.
Once the export is available for the user they will be able to download the Excel file from this location.