There is no report feature for Directory Manager, however, you have a couple of options:
Use dsquery and dsget - DSQUERY group domainroot -name "NAME OF GROUP" | DSGET group -members >> c:\reports\reportname.txt
Use sysexporter to export the listing to export the listing of the LDAP Query Results Window (quick and dirty).
Right Click on LDAP Query
Find LDAP Query Results | TextBox
Select Data in the Windows
You can export data from any LANDesk Console Window - Security Patch Information, Etc...