No report shown in WebFilter section, even though CFS is turned on on the firewall

In GMS when you look at the WebFilter report of any given firewall, you don't see a report, only the message "No reports", even though CFS should have been triggered.

Note: You will only see a web filter report, when a website has been blocked, basically due to that a CFS policy is triggered.

Step 1: Login to the SonicWall Firewall
Step 2: Go to "Log" | "Settings"
Step 3: Expand the category "Network" and expand the subcategory "Network Access"
Step 4: Make sure the checkbox for "syslog" is checked as shown below