I had exactly the same issue and was told by another customer that they had been unable to use drilldowns in HEAT Reports. I've asked support if there are any other limitations as I'd had some issues with datetime parameters but haven't had any feedback as yet.
It would be useful to know as otherwise you end up wasting an awful lot of time!
Thanks for raising this
Spoke to our CSM yesterday about this and she has raised it with someone internal who should be able to give an answer. If it's not possible I'll raise as a feature request.
Official answer is that reports don't drill down which I think would be a nice feature to have so I raised it as a feature request if anyone wants to support it - RM235632
I registered our support of your RM with our CSM this morning. (We share CSM!).
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They have pushed back on the fetaure request on the basis that there is a security issue with SSRS and drill downs. Whilst they continue to use SSRS they will not entertain putting this feature in. Building dashboards was a possible workaround but this is requires development work everytime you want to give someone access to some data so I guess we will just have to have lots of reports
Shocking. Blame it on SSRS.