Unfortunately I am not sure if we can pull all of this info in one report. However you could use the Virtual Machine Protection in Last 30 Days Report, to pull the list of VMs and subclients.
From here, it would be quite easy to then find the subclients in your console to see if there are any specific VSA proxies configured at a subclient level. If not they will use the proxies configured at your VMWare instance level.
By using both the report and the console, you should be able to find everythingh you are looking for!