1. Reports> Audit Reports> User Entitlement
2. Click Expand Groups To Show All Users
3. Click Show Only Effective Permissions
4. Leave all other options at the default
The wild card does not work for this filter. When expanding Collections, Groups, or Policies at least one of the text filters must contain a search value without a wildcard.
Wildcards *are* allowed, but they can't be the *only* thing in the filter criteria. If you want to use a wildcard in one field there has to be at least one other field that has a non-empty, non-wildcard string. Expanding groups and /or collections is very expensive computationally. Doing it with wildcards or no filter at all has the potential to exacerbate the situation by an order of magnitude or more. These is in place to prevent performance issues.