You should add the maven-jxr-plugin to the reportingPlugin section.
<reporting>
<plugins>
<plugin>
<groupId>org.apache.maven.plugins</groupId>
<artifactId>maven-jxr-plugin</artifactId>
<version>3.3.0</version>
</plugin>
</plugins>
</reporting>
Re run it and enjoy.
BTW, maybe you’ll need to run once the jxr:jxr goal to first generate some file that will be used by pmd.