Planning Console link and related tabs on top redirect to the top most Project rather than the Sub Project it was clicked from.
That this is the expected and designed behavior. When you select the "Planning Console" UI Action, it gets the top_task field from the Sub Project to load (which is the Master Project).
This is the code trace if you want to see for yourself:
UI Action "Planning Console" loads the "$pmview" UI Page
The UI Page hits the "PMViewDataUtils" Script Include's "getProjectDetails" method at line 45.
In the method, it takes the top_task to load the Planning Console.
Since the Master Project is loaded, going to any of the tabs such as Status Report will be for the Master.
The purpose of the Planning Console is to give a complete overview of the Master Project including all Sub Projects below it. This is why the Master Project loads in.
Please take a look at this documentation as well: