This happens because the Sys Admin Preference (Procedures > Post Gift Batches > Operation Preferences > Filename and Print Format) is set to “<Use Preferred>”.  This assumes that the Output Destination = FILE.
 
If I set the Print Format to pdf, and the Filename to a valid server path, the reports are created on the server.

The client needs to change the default system settings for where Post Gift Batches sends its output:
 
In System Administration Preference (Procedures > Post Gift Batches > Operation Preferences)

* Please be advised that this will affect the system defaults for all Post Gift Batch jobs

As mentioned earlier, if you use my suggested option, then the client should review all specific scheduled Post Gift Batch jobs and make sure that:
 
1.  Filename:  is set to a valid server path.
2.  Print Format:  is set to pdf
3.  Output Destination:  is set to FILE
 
If a particular job is found to be using the parameter “<Use Preferred>”, which is unlikely, they should re-create the job with the correct settings.