I think Filter reports possibly only report on the custom filters that are built separately outside of a report. To report similarly on a filter that is being utilized inside of a report, you should try a Report report. I'm not in a good place to go trawling for a filter for a report report, but you could at least use a view to manually inspect all your reports. Such a view might look like this:
displayname=Filters that use XXX
textmode=true
valueexpression=IF(CONTAINS('XXX',{filter}.{preference}.{value}),CONCAT("yes"),CONCAT("no"))
valueformat=HTML
Edited to add that I got a filter for the report report working as well.
EXISTS:a:$$OBJCODE=UIFT
EXISTS:a:ID=FIELD:filterID
EXISTS:a:preference:value=XXX
EXISTS:a:preference:value_Mod=cicontains