How to generate a SharePoint Security Report?
Perform the following steps to generate a SharePoint Security Report:
Select SharePoint Online Reports from the available vertical tabs. Then from left pane of the application, select Security.
For demonstration purpose "Effective Permission of Sites" report has been chosen.
On selecting "Effective Permission of Sites" Report, a pop-up window is displayed as shown below to select the scope of the report:

Once the data collection process gets completed, the report data will be displayed in the window as shown below:

For a user based report like Effective permissions of user and groups, you will be asked to select the users / groups, to view the corresponding Security information.

Columns to be displayed on the Grid can be selected from the dropdown. By default, all columns are displayed.
After selecting the desired column from the dropdown, Click Refresh button.
Follow the above mentioned steps to run other Security reports.