By default not all Roles has the Drill Down tab when creating Saved Searches. Only Administrator and Full Access roles will display the Drill Down option in the Saved Search.
To give access to the Drill Down tab to a Role:
1. Login as Administrator
2. Navigate to Setup > Users/Roles > Manage Roles
3. Customise/Edit the Role (E.g. Accountant)
4. Permissions tab > Lists subtab > add Presentation Categories = Full
Note : In addition, Presentation Categories is a WebStore permission that allows you to access Website Features such as Publish Saved Searches & Categories.