Hi @nellybongo – sorry for the late reply here but yes, both of those items are expected behavior.
The long URLs are a result of any filters that you have defined on a current report. So that would include the date range, period ( month, day, year etc ), along with any other filters you have specified. The more filters, the longer the URL. This is done to allow for specific filtered views to be saved via bookmark, or linked from elsewhere within woocommerce and beyond.
I wasn’t aware of Excel having a limit on URL length, but one way around this would be to download the CSV locally to your computer, then import into excel for further data crunching.
As for some downloads being emailed and not others – by default if one page or less of data is returned on a report, it is downloaded directly from the page. On reports that have a larger data set, greater than one page, it requires a bit more resources for the report to assemble all the pages of that data and place it into a csv format. As such it is enqueued as a background job, and when complete, it is emailed to you. This is a similar experience that is seen when working with large data sets on products like Google Analytics.
Hope that helps, and let me know if I can answer any more questions.