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I've done it using two consequent download tool. The first download is used to get the session id and the second to export a report into a csv in the temp folder. This temp file can then be read using a dynamic input workflow.
Long story short, I think Alteryx should upgrade the Salesforce connector to make it more robust and usable. Using the export to csv feature, this should enable Alteryx to be fully compatible with Salesforce report.