The SAS Report output from each task/program represents the ODS results (in SAS Report format) from those tasks. Then you use the SAS Report Builder (File->New Report) to select elements of those results, and assemble them into a composite report that you can further arrange and annotate.
So yes, these SAS Report icons you're pointing to are a necessary intermediate step to building the composite report. Think of the composite report as the recipe, and the individual task outputs as the ingredients...
Chris