Allen, I'm glad you posted this, as we have a related request.
I have posted our related request on the previous feature request system as well. I've thought about this in very deep detail over the past 2 years. It's a VERY difficult problem to solve, as there are a lot of "what ifs" and a lot of use cases and preferences. I'll provide a description of the problem from our point of view.
The threshold report is the closest approximation, but pretty far from the solution. In theory, it does show all thresholds that exist (not counting eventsources or batch jobs). Also, with it's asterisk representing "All matching items", the report represents the shortest possible report providing the most information. In theory, one could extrapolate that a certain host/ds/instance would be subject to a certain threshold on the report, if one knew the properties of the host. However it's indirect information, and those looking at the reports cannot see which hosts/instances a given threshold would apply to. It also doesn't show what instances were discovered and exist.
The other extreme is a CSV of every host, with every Datasource, every instance, every metric, every threshold. We've seen this from other monitoring tools, and it's equally undesirable. There's too much data.
My vote would be for a carefully crafted middle-ground, which will take a lot of trial and error.
Somehow, the lowest-level items need to be enumerated and the threshold shown (for items with thresholds), but organized in such a way that it's intuitive to navigate. And of course, the other challenge is how to do this in all 3 formats: CSV, Excel, HTML.
That's the "problem summary" for a "Monitored Items" report, from our point of view.
I'm interested if others are looking for the same type of report. I also wonder if there are any new accommodations for this in the upcoming improvements to reporting .