*** Fatal program error while attempting to create the Content:

I am getting the following error when trying to create a new report in Analysis Designer

Any ideas on what could be happening.

This happens if you are trying to use a name that's already in use. It's not a great error message. Try changing the name by adding a number at the end - instead of 'My Report' use 'My Report 01'

Names for saved reports must be globally unique.

Yes, it's true, PMF could have had user ID and name be the standard for uniqueness, instead of just name. But not at this time.