Answer
For this specific RMB, grant the 'Report - Delivery Note for Shipment' permission, found under Presentation Objects By Component when you navigate to Shipment within the permission set, then refresh the security cache. As a general approach for figuring out what controls any greyed-out built-in RMB action, browsing Presentation Objects By Component to the relevant screen/module in a permission set is usually where the specific report/action-related permission can be found and identified by name.