Thanks again to the fantastic support of the CGD Support team for helping me resolve this issue.
If you are using FastReports (4.xx) in a CGD/IW IIS deployment then DO NOT leave ANY TfrxReport components on any form, frame or data module.
Create and destroy TfrxReport instance in code works.
You should also set "TfrxReport.EngineOptions.EnableThreadSafe := true;" immediatley after create.
Regards