The record links capability is very powerful in which it allows expression of complex links between objects at different levels (e.g. linking one feature to multiple initiatives). However, the fact that we cannot use those links in reporting deeply limit its use.
Thank you for your idea. There are currently a few ways that you can report on record links.
In any custom report, you can add a Record links column
The dependency report will allow you to visualize record links across multiple records at once
Within an individual record you can visualize dependencies by clicking the Visualize link