I am no expert on LLBLGen, but speaking out of turn and in general of ORM tools, they all stop when it comes to reporting.
From what I have seen, it seems this way across the industry.
I assume you are asking if there is some generic method to create a dataset from an object graph? If so, that would be cool and cannot speak to if there is something like that or not for sure. However, converting what you have into a Dataset can be done fairly easy with code. You can just create a dataset, create the tables, populate them with the data from the objects, etc. You might even could use the templates to generate something to map an Entity onto a DataTable - that might be very useful.
I would like to see something like a SQL Reporting Services assembly that let me use LLBLGen pro to do reports in SSRS! That would be nice!
Wayne