After you rebuild the MR data mart, previously generated reports are missing transaction detail. If you try to drill down, the detail is missing. Once the report is re-generated, the transaction detail is there again.
Transaction level detail is reliant on the detail from the data mart. In older versions of MR, the transaction detail was stored in the MR database. This caused the MR database to grow very rapidly. Starting in CU5, the transaction detail was removed from the MR database and links to transactions in the data mart database were used. This link was established to dramatically reduce the amount of data that is stored in the Management Reporter database with each report generation. When the data mart is rebuilt, the link used for the dimensions in the data mart changes. Any previously generated reports would be using the old links and would no longer match the new links created. For example, dimension 1100 may have had a link of 25. When the data mart is rebuilt, it may have a link of 26. The generated report has the old dimension link which is no longer valid in the rebuilt data mart. Because of this, MR cannot find the transaction detail to display.
This can also happen if you update MR to a newer build.
In either case, the only way to get the transaction detail back is to re-generate the report.
Update: CU15 will now allow you to reset the data mart using PowerShell. Doing this will keep the transaction detail intact. You can read more about resetting the data mart here.