This is because configuring Windows Authentication through the reports execution is laborious and time-consuming: a Server Principal Name record (requiring DOMAIN ADMINISTRATOR access) is created in Active Directory associating the Sql Server Reporting service to the user the service runs under on the server (a network user to facilitate querying the Active Directory)... and the service account user has to have the delegation option enabled, the server must be trusted for delegation too; the windows users wishing to run reports must be set to allow delegation - so Kerberos authentication protocols will be used. The reporting service itself has to have the configuration edited to enable Kerberos protocols... but then the reports will be secure and only display data the individual users are permitted to (based on SQL security configuration).