Web activities are reported by Content Filter Service. This service needs to be configured properly to make the reports working. Here are the steps:
1. Make sure CFS is enabled:

2. Make sure LAN – WAN CFS policy is enabled:

3. Refer to screenshot in step 2, the in use “CFS Default Profile“ has HTTPS Content Filtering enabled:

4. Refer to screenshot in step 2, the in use “CFS Default Action” has Flow Reporting enabled:

If the test computer is behind the firewall, and the user also logs into firewall as administrator, make sure Content Filter policy "Exclude Administrator" is disabled:

Now when you test browsing some websites like cnn.com, log into firewall locally, go to Monitor/AppFlow Monitor/Web Activity, search for key word like cnn, the browsed websites should show up:

If AppFlow Monitor is not already enabled, need to enabled Local Collector. This requires firewall reboot. Reboot firewall then:

Log into NSM, the same websites cnn.com should show up in Details/Web Activities.