Currently:
Student reports in the DSAR will not contain any of the documents linked to the pupil's record from student manager, student register, medical center, wellbeing manager or any module that uses attached documents.
You will need to go to the respective module, download the document from this module and then upload it to the DSAR documents.
I am immensely confused as to why this isn't already a feature, surly this is the whole point of the module to download everything in one nice package.