The issue is a bug and is to be fixed in CU15 which was released on April 22nd. This does work in you use the web viewer and are using the datamart to drill back to Dynamics GP.
Legacy:
-Report Viewer: This currently does not work with GP2015. It has been written up as Bug 3623582.
-Web Viewer: Drilling to GP with the legacy provider is not supported in the Web Viewer.
Data Mart:
-Report Viewer: This currently does not work with GP2015. It has been written up as Bug 3623582.
-Web Viewer: This works.