Navigate to the Blue report area, toggle 'show child reports' off, and use the search field to filter for the reports that you wish to download. 

How do I search for reports on my Blue dashboard?

Keeping the 'show child reports' toggle off, click the file folder icon to open the list of individual reports.

Scroll down to the bottom and click 'select all' (or search within that folder list, and select only the individual reports that you wish to download). 

Click 'download PDF', and the .zip file will be downloaded to your machine.