Has there ever been a report of a helicopter flying into a downburst?
Yes, it would be really amazing if it had never happened. Since "reports" are only required in the case of accidents, here are extracts from three NTSB summaries:

WPR13CA155


  During descent for an off-airport pinnacle landing, the helicopter
  encountered a downdraft about 75 to 100 feet above ground level (agl),
  and the pilot receiving instruction increased collective input. The
  flight instructor advised the pilot receiving instruction to be less
  aggressive using the collective as the flight continued to the landing
  area. As the helicopter descended through about 10 to 25 feet agl, it
  encountered a second downdraft, and the pilot receiving instruction
  increased collective again, which was followed by a decrease in rotor
  rpm.


ANC09LA098


  During the approach to the 5,657 foot level site, the pilot said he
  encountered a downdraft as the helicopter approached the site, and the
  helicopter descended below his anticipated approach path. He initiated
  a go-around, but the helicopter continued to descend, and landed hard,
  about 150 feet short and down slope of his intended touchdown point.


WPR09CA470


  As he flew the helicopter out of the leeward side of the peak, he
  encountered a downdraft. He maneuvered the helicopter toward a wide
  open valley that descended about 5,000 feet below. The downdraft
  pushed the helicopter into the face of the mountain, despite the
  pilot's application of full collective and descending flight into the
  valley.