I have mine set to download weekly and a couple of times it's been late (I usually get the email with the download link on Saturday nights). Once or twice I haven't gotten the email at all, but because the link is good for 7 days, the next week's download still provides access to the previous week's (except for on one occasion where it said there was an error accessing the records).

You can also download a monthly report directly from the archives in Sales Reports Plus (if subscribed, you can access it from the dropdown menu in My eBay > Account, then click "archived reports" in the left-hand menu).