At the moment, we're unable to remove the Shared flag in a custom report. If you've shared this report previously, this option will become default and can't be turned off. However, you can re-create the report and make sure that None is selected from the Shared with drop-down.
If you have more questions related to reports or need help with other task in your account, please leave a reply below. I'll be around to help. Take care and stay safe.
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