If you put a settings.php into /course/report/something then, at present, this file is never even used.
Since settings.php is part of the standard plugin interface, it ought to be implemented for course reports.
(Course reports do appear in the settings menu for courses, but this is where you run the report for an individual course. A course report might also have sitewide settings. These should be available and searchable on the admin menu like all other settings.)
I would suggest that course report settings.php should
(a) work the same way as every other settings.php
(b) the settings should appear in the tree within Plugins/Course reports