Thanks to a colleague of mine who had gone through this with a large data customer and Microsoft support.
When using Management reporter try to separate the SQL instance from the AX database. This is because AX has the best practice of setting the max. degree of parallelisation in SQL server to 1. MR does not deal with this that well, it is recommended to leave it as the default value of 0.
Since this setting is at server level. The only solution is to have 2 SQL server instances.