Posting my experience/solution in case anyone else runs into this issue.

I was able to get Lean running locally with Python algorithms, but for some reason I was still getting a System.DllNotFoundException: python3.6m error when trying to generate reports locally via the below command. In the end, it looks like a Python.Runtime.dll.config is needed in the Report folder as well.

cd ./Report/bin/Debug
mono ./QuantConnect.Report.exe --backtest-data-source-file ../../../Launcher/bin/Debug/BasicTemplateFrameworkAlgorithm.json --report-destination BasicTemplateFrameworkAlgorithm.html

I first got things working by copying the Python.Runtime.dll and Python.Runtime.dll.config files from the Launcher/bin/Debug folder, but ultimately found that simply placing placing the Python.Runtime.dll.config directly within the Report folder, and rebuilding the project solved the issue. 

I created a pull request to resolve, but in the meantime, hope this helps others!