There are two ways to have a web filtering report. Both of them require that you enable on the firewall policy under Policy – Policy – Policy section on FortiGate GUI the checkbox Log Allowed Traffic. Then you have to go on UTM Profiles – Web Filter – Profile section and flag the checkbox Log all URLs on the correct Web Filter Profile.
After these you can create 2 kind of reports, both manually, on the Log&Report tab ofg FortiGate GUI. One on Log & Archive Access – UTM Log, where you can filter UTM Type by Web Filter and also other filter (like date / time / etc.) and then download the log file with the button Download Raw Log. The second instead is located in Report Access – Web Usage , where you can create charts of the 10 most blocked web sites or categories, and you can download the pdf file of this log.