The file name field is not present in Endpoint SMTP and HTTP incident snapshots. Accordingly to that, the CSV report won't have any value in the file name column for those incidents.

DLP 15.X, DLP 16.0, DLP 16 RU1

This feature has been added in DLP 16.0. Here is list of feature added with regards to incident report based on type:

Network Incidents:
1. Ability to select attachment file size and file name as columns on the list page.
2. Ability to filter incidents based on file size and file name. (This is not available for summarization today and will be worked on in Taurus)
3. Ability to export file name and file size through CSV export.

Endpoint Incidents:
1. Ability to select file name as a column on the list page. (File size is missing and will be worked on in Taurus)
2. Ability to summarize incidents based on file name. (File size is missing and will be worked on in Taurus)
3. Ability to filter incidents based on file name and file size.
4. Ability to export file name through CSV export. (File size is missing and will be worked on in Taurus)

Application incidents:
1. Ability to select file name and file size as columns on the list page. (They are called message component name and message component size)
2. Ability to filter on incidents based on file name. (File size is missing from filters and both are missing in summarization and will be worked on in Taurus.)
3. Ability to export file name and file size through CSV export. (They are called message component name and message component size)

Discover incidents:
1. Ability to select file name and file size as columns on the list page. (They are called message component name, document name and message component size)
2. Ability to filter incidents based on file size and file name. (This is not available for summarization today and will be worked on in Taurus)
3. Ability to export file name and file size through CSV export.