Linking Modules via Lookup Field and Ability to Report

Linking Modules via Lookup Field and Ability to Report

If you add a new custom module and add a Lookup field for any other entity (Leads, Contacts, etc), you can report on the relationship between the two modules.  If you take an existing module, say Cases, and add a Lookup field for Leads, I would expect that you could build reports that show the relationship between Leads and Cases.  Unfortunately you cannot.  Why would that be?