As mentioned earlier, this report is built in an application called BI Publisher. This tool works slightly differently than UDW+. One of the differences is what is displayed when a report is running. For the Budget Detail report, it is not explicit when a report is being executed. The best way to see if a report is running is to check the UDW+ icon in the top right of the screen to see if it's turning. Additionally, check to see if the web browser is loading anything. If No Results are being displayed, the likelihood is that the report is running and simply hasn't yet returned the data to the screen.
There is a known issue with the drill to student financial detail. This occurs for Tandon for Fall 2014 and is related to the conversion from Tandon chartfields to WSQ01 chartfields.