Recently, after the deprecation of Get-MailDetailSpamReport and Get-MailDetailMalwareReport command-lets, Microsoft has suggested using Get-MailDetailATPReport to get that information. Even searching for those two deprecated command-lets land on the MS doc for Get-MailDetailATPReport.
But the new command-let, Get-MailDetailATPReport doesn't return any data for my tenant. However, I was using Get-MailDetailSpamReport and Get-MailDetailMalwareReport to get info on my tenant until it was deprecated. Though I am able to see the results in UI (https://security.microsoft.com/reports/TPSEmailSpamReportATP), the Get-MailDetailATPReport returns no data.
I was able to create another trial tenant of the same subscription (M365 E3) yet it didn't work. I did some research and found that It didn't work in M365 Business tenants as well. Contrarily E5 tenants only worked.
It is a bug that the values are displayed in UI but not returned in PowerShell. As the command-lets were deprecated recently, I'm sure this issue will be noticed by many organizations.