ShipStation only includes products on reports that have a product record. When you first setup your stores, you chose whether or not to create product records during the setup process.
If you want to start creating product records so that your reports include all of your products, simply ensure that the radio button next to Create a new product record so that defaults can be configured for future orders has been selected.
Remember to Save Changes, and from now on, your imported orders' products will create records so that they will show up in your reports. (You'll also have the added benefit of creating product defaults, profiles, and filters and tags.)