From a support ticket I recently logged:
“The WHATID/WHOID resolve only works on the parent Object; thus, we can't use this feature from an ... object [that looks up to the parent Object]. Therefore I suggest creating a Data Designer to join both these objects to create a dataset which holds all the required fields you wish to maintain”
This is a very cumbersome workaround for a seemingly simple task (in my case: adding the Association ID to a report on a flattened survey object). Please consider adding the option to resolve WHOID/WHATID also when the field is pulled into a report through a lookup.